This paper considers a correlated risk model with thinning-dependence structure. The au- thors investigate the optimal proportional reinsurance that maximizes the adjustment coefficient and the optimal proportional re...This paper considers a correlated risk model with thinning-dependence structure. The au- thors investigate the optimal proportional reinsurance that maximizes the adjustment coefficient and the optimal proportional reinsurance under mean variance principle for the proposed model. The au- thors 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.展开更多
基金supported by the Research Fund for the Doctorial Program of Higher Education under Grant No.20093201110013Science and Technology Foundation of Fujian Education Department under Grant Nos.JA11208 and JB07153
文摘This paper considers a correlated risk model with thinning-dependence structure. The au- thors investigate the optimal proportional reinsurance that maximizes the adjustment coefficient and the optimal proportional reinsurance under mean variance principle for the proposed model. The au- thors 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.
