Castaner, Anna; Claramunt, M. Merce; Marmol, Maite - Facultat d'Economia i Empresa, Universitat de Barcelona - 2009
In the context of a compound Poisson risk model, we define a threshold proportional reinsurance strategy: A retention level k1 is applied whenever the reserves are less than a determinate threshold b, and a retention level k2 is applied in the other case. We obtain the integro-differential...