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The influence of reinsurance limits on infinite time ruin probabilities. (English) Zbl 0539.62112

Premium calculation in insurance, NATO ASI Ser., Ser. C 121, 493-504 (1984).
[For the entire collection see Zbl 0528.00012.]
The dependence of the infinite time ruin probability on the retention of a reinsurance company is studied by using the according defective integral equations and developing according inequations: This leads finally under eligible conditions to the decreasing monotony of the adjustment coefficient R. One proof showing the existence of \(\partial \psi /\partial m\) is not complete.
Reviewer: Ch.Netzel

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics

Citations:

Zbl 0528.00012