Acta mathematica scientia,Series A ›› 2013, Vol. 33 ›› Issue (2): 317-326.

• Articles • Previous Articles     Next Articles

Optimal Excess of Loss Reinsurance for a Correlated Risk Model with Thinning-Dependence Structure

 HU Feng-Qing   

  1. Research Center for Financial Engineering and Department of Mathematics, Soochow University, Suzhou 215006
  • Received:2011-09-23 Revised:2012-11-06 Online:2013-04-25 Published:2013-04-25
  • Supported by:

    教育部博士点基金(20093201110013)资助

Abstract:

In this paper, we investigate the optimal excess of loss reinsurance under the correlated risk model with thinning-dependence structure, that maximizes the expected exponential utility and the adjustment coefficient respectively. Correspondingly, we derive the optimal solutions and give a numerical example to analyze the impacts of the thinning factor for each strategy.

Key words: Excess of loss reinsurance, Thinning-dependence structure,  The adjustment coefficient, The expected value principle

CLC Number: 

  • 91B30
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