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Discrete-Time Insurance Models. Optimization of Their Performance by Reinsurance and Bank Loans

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Distributed Computer and Communication Networks (DCCN 2019)

Part of the book series: Lecture Notes in Computer Science ((LNCCN,volume 11965))

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Abstract

The popularity of discrete-time models in applied probability is explained as follows. They are more precise in some situations. In other cases they can be used as approximation of the corresponding continuous-time models. So, we consider two discrete-time insurance models and study the quality of their performance. The company reliability or the expected discounted costs incurred by its control can be chosen as an objective function (target or risk measure). It is possible to consider a finite or infinite planning horizon. The control includes reinsurance treaties and/or bank loans. The optimal control (maximizing the reliability or minimizing the costs) is established for the finite planning horizon. Its asymptotic behavior, as the horizon tends to infinity, is also investigated.

Supported by Russian Foundation for Basic Research according to the research project No. 17-01-00468.

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Authors and Affiliations

  1. Lomonosov Moscow State University, Leninskie Gory 1, Moscow, 119991, Russia

    Ekaterina V. Bulinskaya

Authors
  1. Ekaterina V. Bulinskaya
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Correspondence to Ekaterina V. Bulinskaya .

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Editors and Affiliations

  1. V.A. Trapeznikov Institute of Control Sciences of Russian Academy of Sciences, Moscow, Russia

    Vladimir M. Vishnevskiy

  2. Peoples' Friendship University of Russia, Moscow, Russia

    Konstantin E. Samouylov

  3. V.A. Trapeznikov Institute of Control Sciences of Russian Academy of Sciences, Moscow, Russia

    Dmitry V. Kozyrev

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Bulinskaya, E.V. (2019). Discrete-Time Insurance Models. Optimization of Their Performance by Reinsurance and Bank Loans. In: Vishnevskiy, V., Samouylov, K., Kozyrev, D. (eds) Distributed Computer and Communication Networks. DCCN 2019. Lecture Notes in Computer Science(), vol 11965. Springer, Cham. https://doi.org/10.1007/978-3-030-36614-8_26

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  • DOI: https://doi.org/10.1007/978-3-030-36614-8_26

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-030-36613-1

  • Online ISBN: 978-3-030-36614-8

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