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Optimal proportional reinsurance under dependent risks

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Abstract

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.

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Author information

Authors and Affiliations

  1. Department of Mathematics and Center for Financial Engineering, Soochow University, Suzhou, 215006, China

    Fengqing Hu

  2. Department of Statistics and Actuarial Science, University of Hong Kong, Hong Kong, China

    Kam C. Yuen

Authors
  1. Fengqing Hu
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  2. Kam C. Yuen
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Corresponding author

Correspondence to Fengqing Hu.

Additional information

This research is supported by the Research Fund for the Doctorial Program of Higher Education under Grant No. 20093201110013 and Science and Technology Foundation of Fujian Education Department under Grant Nos. JA11208 and JB07153.

This paper was recommended for publication by Editor Guohua ZOU.

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Hu, F., Yuen, K.C. Optimal proportional reinsurance under dependent risks. J Syst Sci Complex 25, 1171–1184 (2012). https://doi.org/10.1007/s11424-012-1045-x

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  • DOI: https://doi.org/10.1007/s11424-012-1045-x

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