Optimal reinsurance under M-V criterion for the merger of two company

XU Wei; GUO Junyi; BAI Lihua

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Optimal reinsurance under M-V criterion for the merger of two company

XU Wei,GUO Junyi * #,BAI Lihua

School of Mathematical Sciences, Nankai University

*Correspondence author

#Submitted by

Subject:

Funding: National Natural Science Foundation of China （No.11171164) and the Research Fund for the Doctoral Program of Higher Education of Chin）

Opened online:21 February 2013

Accepted by: none

Citation: XU Wei,GUO Junyi,BAI Lihua.Optimal reinsurance under M-V criterion for the merger of two company[OL]. [21 February 2013] http://en.paper.edu.cn/en_releasepaper/content/4520714

In this paper, the two companies take on the same risk, and the two claim number processes are independent Poisson processes. The optimal criterion is M-V criterion. The problem is converted into solving maximizing the expected utility function, and we get the closed-form expressions.

Keywords:Probability Theory; Reinsurance; Merger; Optimal strategy

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