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arXiv · 2101.06470

Optimal Reinsurance: A Ruin-Related Uncertain Programming Approach

Wrya Vakili·Alireza Ghaffari-Hadigheh
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Abstract

We investigate the role of reinsurance in maximizing the wealth of an insurance company. We use Liu's uncertainty theory (B. Liu, 2007) for the problem modeling and follow-up computations. The uncertainty measure of ruin for the insurance company is considered as the optimization criterion. Since calculating the ruin index is very difficult, we introduce a simple computational method to identify the uncertain measure of ruin for an insurance company. Finally, a generalized model is presented, granting the model be more practical.

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Wrya Vakili, Alireza Ghaffari-Hadigheh. 2021-01-16. Optimal Reinsurance: A Ruin-Related Uncertain Programming Approach. https://arxiv.org/abs/2101.06470

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