Research Article
Optimal Layer Reinsurance for Compound Fractional Poisson Model
Table 1
Optimal retention levels and the upper bounds with different parameters.
| =1 =2 |
| | h=0.5 =2 |
| | h=0.5 =1 |
| | | | |
| | 0.1489 | 0.0001 | | 0.2508 | 0.0162 | | 0.2514 | 0.0166 | 1.8234 | 0.8241 | 0.8021 |
| | 0.1659 | 0.0014 | | 0.2521 | 0.0210 | | 0.2523 | 0.0220 | 1.3195 | 0.7728 | 0.7629 |
| | 0.1878 | 0.0063 | | 0.2531 | 0.0259 | | 0.2532 | 0.0263 | 1.0144 | 0.7308 | 0.7273 |
| | 0.2163 | 0.0174 | | 0.2540 | 0.0309 | | 0.2540 | 0.0310 | 0.8099 | 0.6955 | 0.6946 |
| | 0.2548 | 0.0360 | | 0.2548 | 0.0360 | | 0.2548 | 0.0360 | 0.6650 | 0.6649 | 0.6649 |
| | 0.3084 | 0.0606 | | 0.2555 | 0.0411 | | 0.2555 | 0.0412 | 0.5606 | 0.6383 | 0.6377 |
| | 0.3861 | 0.0876 | | 0.2561 | 0.0462 | | 0.2562 | 0.0467 | 0.4870 | 0.6150 | 0.6128 |
| | 0.5002 | 0.1088 | | 0.2567 | 0.0513 | | 0.2569 | 0.0525 | 0.4436 | 0.5940 | 0.5895 |
| | 0.6557 | 0.1109 | | 0.2572 | 0.0564 | | 0.2574 | 0.0584 | 0.4399 | 0.5752 | 0.5682 |
| | 0.8053 | 0.0807 | | 0.2576 | 0.0613 | | 0.2579 | 0.0644 | 0.5035 | 0.5583 | 0.5486 |
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