Optimal proportional reinsurance under dependent risks
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This paper considers a correlated risk model with thinning-dependence structure. The authors investigate the optimal proportional reinsurance that maximizes the adjustment coefficient and the optimal proportional reinsurance under mean variance principle for the proposed model. The authors derive the optimal solutions and the numerical illustrations to show the impact of the dependence among the classes of business on the optimal reinsurance arrangements.
Key wordsAdjustment coefficient mean-variance principle optimal proportional reinsurance thinningdependence structure
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