Ruin Probability-Based Initial Capital of the Discrete-Time Surplus Process in Insurance under Reinsurance as a Control Parameter

Arthit Intarasit, K. Chuarkham, P. Sattayatham

Abstract

This paper studied an insurance model under the condition that the claims can becontrol by reinsurance and an insurance company requires a sufficient initial capital toensure a ruin probability will not exceed a given quantity. The objective is to findthe minimum initial capital for a given ruin probability. The existence of the minimuminitial capital was proved and an example in approximating the minimum initial capitalfor exponential claims was finally given.