CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2010, 26(2) 113-122 DOI:      ISSN: 1001-4268 CN: 31-1256

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Keywords
Adjustment coefficient
combinations of excessof loss with quota-share reinsurance
diffusion
the probability ofruin
upper bound.
Authors
Wang Wei
Zhang Chunsheng
PubMed
Article by
Article by

A New Look at the Adjustment Coefficient in theCompound Poisson Model Perturbed by Diffusion

Wang Wei,Zhang Chunsheng

School of Mathematical Sciences and LPMC,Nankai University

Abstract��

In this paper, we study the
adjustment coefficient as a function of the retention levels for
combinations of quota-share with excess of loss reinsurance in the
compound Poisson model perturbed by diffusion. We calculate the
quota-share on original terms and the excess of loss reinsurance
premium according to the expected value principle. Then the result
that the adjustment coefficient is a unimodal function of the
retention limit for excess of loss reinsurance in this risk model is
obtained. In the last part of this paper, an upper bound for the
probability of ruin in finite horizon is given.

Keywords�� Adjustment coefficient   combinations of excessof loss with quota-share reinsurance   diffusion   the probability ofruin   upper bound.  
Received 1900-01-01 Revised 1900-01-01 Online:  
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Corresponding Authors: Wang Wei
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