A0402
Title: Optimal excess-of-loss reinsurance and dividend under thinning dependence
Authors: Mi Chen - Fujian Normal University (China) [presenting]
KC Yuen - HKU (China)
Wenyuan Wang - Xiamen University (China)
Abstract: The problem of optimal dividends and reinsurance in a risk model with thinning-dependence structure is studied. Transaction costs and taxes are required when dividends occur. The expected value premium principle is adopted and non-cheap reinsurance is considered. It shows that an excess-of-loss reinsurance strategy is an optimal reinsurance form. Closed-form expressions for the value function and the corresponding optimal excess-of-loss reinsurance strategy are derived. Some numerical examples are presented.
