Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Insurance
On Central Branch/Reinsurance Risk Networks: Exact Results And Heuristics, Florin Avram, Sooie-Hoe Loke
On Central Branch/Reinsurance Risk Networks: Exact Results And Heuristics, Florin Avram, Sooie-Hoe Loke
Mathematics Faculty Scholarship
Modeling the interactions between a reinsurer and several insurers, or between a central management branch (CB) and several subsidiary business branches, or between a coalition and its members, are fascinating problems, which suggest many interesting questions. Beyond two dimensions, one cannot expect exact answers. Occasionally, reductions to one dimension or heuristic simplifications yield explicit approximations, which may be useful for getting qualitative insights. In this paper, we study two such problems: the ruin problem for a two-dimensional CB network under a new mathematical model, and the problem of valuation of two-dimensional CB networks by optimal dividends. A common thread between …