Hostname: page-component-7dd5485656-npwhs Total loading time: 0 Render date: 2025-10-30T18:08:32.119Z Has data issue: false hasContentIssue false
  • English
  • Français

Optimal reinsurance

Published online by Cambridge University Press:  14 July 2016

P. W. A. Dayananda
P. W. A. Dayananda*
Affiliation:
University of Ceylon, Colombo
Get access Rights & Permissions [Opens in a new window]

Extract

The fundamental principle underlying insurance is that the expected value of claims is equal to the premium. This was established by Bernoulli [4] in 1738. Subsequent work on the development of ‘risk theory’ led to research concerning the probability of ‘ruin’ of an insurance company. A critical study of these investigations was made by Borch [3] in a recent paper.

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 7 , Issue 1 , April 1970 , pp. 134 - 156
Copyright
Copyright © Applied Probability Trust 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Article purchase

Temporarily unavailable

References

[1] Bather, J. A. (1963) Optimal regulation of a dam in continuous time. J. Soc. Appl. Math. 2, 33–63.Google Scholar
[2] Bather, J. A. (1968) Diffusion model for the control of a dam. J. Appl. Prob. 5, 55–71.Google Scholar
[3] Borch, K. (1967) The theory of risk. J. R. Statist. Soc. B 29, 432–468.Google Scholar
[4] Bernoulli, D. (1738) Specimen theoriae novae de mensura sorits. Econometrica 2, 23–36. (English translation).Google Scholar
[5] Bellman, R. (1957) Dynamic Programming. Princeton University Press, Princeton.Google Scholar
[6] CraméR, H. (1930) On the mathematical theory of risk. Skandia Jubilee Volume, Stockholm.Google Scholar
[7] Dayananda, P. W. A. (1968) Optimal Control of Insurance. Ph.D. Thesis, University of Manchester.Google Scholar
[8] Lundberg, F. (1909) Über die Theorie der Rückversicherung. Trans. VI. Int. Cong. Actuaries 1, 877–955.Google Scholar