Optimal prevention of large risks with two types of claims
| Autor: | Romain Gauchon, Stéphane Loisel, Julien Trufin, Jean-Louis Rullière |
|---|---|
| Přispěvatelé: | Gauchon, Romain, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, Département de mathématiques Université Libre de Bruxelles, Université libre de Bruxelles (ULB) |
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
Statistics and Probability
Economics and Econometrics Optimal prevention strategy [MATH.MATH-PR] Mathematics [math]/Probability [math.PR] 050208 finance Actuarial science Prevention 05 social sciences Ruin theory [MATH.MATH-OC] Mathematics [math]/Optimization and Control [math.OC] Plan (drawing) [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM] 01 natural sciences [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 010104 statistics & probability Risk model Insurance 0502 economics and business [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM] Business [MATH.MATH-OC]Mathematics [math]/Optimization and Control [math.OC] 0101 mathematics Statistics Probability and Uncertainty |
| Zdroj: | HAL Scandinavian Actuarial Journal Scandinavian Actuarial Journal, Taylor & Francis (Routledge), In press |
| ISSN: | 0346-1238 |
| Popis: | International audience; In this paper, we propose and study a risk model with two types of claims in which the insurer may invest into a prevention plan which decreases the intensity of large claims without impacting the small claims. We identify a necessary and sufficient condition for insurers to use prevention if there is no surplus. If, in addition, the severity of large claims dominates that of small claims by the harmonic mean residual life (HMRL) order, insurers invest more in prevention in the presence of a surplus.Finally, we characterize the asymptotic optimal prevention strategy when the initial surplus tends to infinity in the two main cases where both claim types are light-tailed and where one of them is light-tailed and the other one is heavy-tailed. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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