2021/01/16 by Vakili, Wrya, Ghaffari-Hadigheh, Alireza
#FOS: Mathematics #Optimization and Control (math.OC)
paper · doi:10.48550/arxiv.2101.06470
We investigate the role of reinsurance in maximizing the wealth of an insurance company. We use Liu's uncertainty theory (B. Liu, 2007) for the problem modeling and follow-up computations. The uncertainty measure of ruin for the insurance company is considered as the optimization criterion. Since calculating the ruin index is very difficult, we introduce a simple computational method to identify the uncertain measure of ruin for an insurance company. Finally, a generalized model is presented, granting the model be more practical.