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Effect of an Excess of Loss Reinsurance on Upper Bounds of Ruin Probabilities

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Document pages: 17 pages

Abstract: In this paper, discrete time risk models under an excess of loss reinsurance are studied. Adjustment coefficients of the cedent and the reinsurer are established as functions of quota share level and retention level. By the martingale method, ruin probabilities of the cedent and the reinsurer still have exponential form. Finally, numerical examples are provided to illustrate the results obtained in this paper.

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