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A Reinsurance Approach in a Two-Dimensional Model with Dependent Risks
Department of Economics and Business Studies, University of Genoa, Genoa, Italy
Department of Economics and Business Studies, University of Genoa, Genoa, Italy
Department of Economics and Business Studies, University of Genoa, Genoa, Italy
- 1 Department of Economics and Business Studies, University of Genoa, Genoa, Italy
- 2 Department of Economics and Business Studies, University of Genoa, Genoa, Italy
- 3 Department of Economics and Business Studies, University of Genoa, Genoa, Italy
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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.
KeywordsReinsuranceProportional ReinsuranceExcess of Loss ReinsuranceDependent RisksTwo Dimensional Risk Process
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