Author(s)

Cristina Gosio, Ester C. Lari, Marina Ravera

Department of Economics and Business Studies, University of Genoa, Genoa, Italy.

In this paper, we study an optimal reinsurance strategy combining a proportional and an excess of loss reinsurance. We refer to a collective risk theory model with two classes of dependent risks; particularly, the claim number of the two classes of insurance business has a bivariate Poisson distribution. In this contest, our aim is to maximize the expected utility of the terminal wealth. Using the control technique, we write the Hamilton-Jacobi-Bellman equation and, in the special case of the only excess of loss reinsurance, we obtain the optimal strategy in a closed form, and the corresponding value function.

Reinsurance, Proportional Reinsurance, Excess of Loss Reinsurance, Hamilton-Jacobi-Bellman Equation

Gosio, C. , Lari, E. and Ravera, M. (2016) Optimal Dynamic Proportional and Excess of Loss Reinsurance under Dependent Risks. Modern Economy, 7, 715-724. doi: 10.4236/me.2016.76075.