

Principle Seminar of the Department of Probability Theory, Moscow State University
October 12, 2016 17:15–17:45, Moscow, MSU, auditorium 1224






Some stochastic models of actuarial mathematics
A. A. Muromskaya^{} ^{} Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

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Abstract:
We study three models of insurance company performance that differ in financial instruments which can be applied.
The first chapter of the thesis is devoted to the problem of optimal control in the classical risk model. It is
assumed that each insurable event can cause several claims corresponding to different risks. Furthermore, each risk
can be reinsured according to the arbitrary reinsurance treaty. Parameters of such reinsurance treaties can be
changed dynamically. The second and the third chapters deal with the performance of stock insurance companies.
Such characteristics as total dividends paid until ruin and the probability of ruin are investigated. In the
framework of the second chapter we assume that the insurance company is using the excess of loss reinsurance treaty
with the limited liability of reinsurer. In the third chapter we examine barrier dividend strategies with a step
barrier function, according to which the dividend barrier can be changed throughout the operation of the insurance
company.

