We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the … premia, which take into account risk fluctuations. Using stochastic control theory based on the Hamilton …-Jacobi-Bellman equation, we analyze the optimal reinsurance strategy under the criterion of maximizing the expected exponential utility of the …

This paper investigates an optimal reinsurance policy using a risk model with dependent claim and insurance premium by … distribution and the Farlie–Gumbel–Morgenstern (FGM) copula-based bivariate exponential distribution. The reinsurance premium paid … optimal combination of proportional and stop-loss reinsurance for the insurer. Specifically, with a constrained reinsurance …