Abstract:
Two discrete-time insurance models are considered. The first model studies non-proportional reinsurance and bank loans. For this model, we establish the optimal control and stability to small fluctuation of parameters and perturbation of random variables distributions describing the model. The second model is dual and the ruin probabilities are compared under assumption that the gains distributions satisfy one of four partial orders.
Key words:discrete-time insurance models, optimal control, stability with respect to small fluctuation of parameters and perturbation of random variables distributions describing the model, ruin probability, stochastic orders.