We consider a risk process modelled as a compound Poisson process. We find the optimal dynamic unlimited excess of loss reinsurance strategy to minimize infinite time ruin probability, and prove the existence of a smooth solution of the corresponding Hamilton- Jacobi- Bellmann equation as well...

Should the pricing of reinsurance catastrophes be related to the price of the default risk embedded in corporate bonds?...

This paper explains securitization of insurance risk by describing its essential components and its economic rationale. We use examples and describe recent securitization transactions...