TITLE:
A Reinsurance Approach in a Two-Dimensional Model with Dependent Risks
AUTHORS:
Cristina Gosio, Ester C. Lari, Marina Ravera
KEYWORDS:
Reinsurance, Proportional Reinsurance, Excess of Loss Reinsurance, Dependent Risks, Two Dimensional Risk Process
JOURNAL NAME:
Modern Economy,
Vol.10 No.7,
July
25,
2019
ABSTRACT: We consider an insurer having
two classes of insurance risks dependent through the number of claims of each risk in a given period of time. We assume
that the insurer chooses a reinsurance strategy related to the first class of
risk by means a proportional reinsurance contract; we also assume that the
reinsurance strategy related to the second class of risk is of Excess of Loss
reinsurance type. Within this paper, we study the possible optimal couples of
proportional retention level and Excess of Loss retention limit.