Description: This is the abstract for the paper on optimal risk retention under reciprocal reinsurance with exponential utility functions.

Description: This presentation discusses a process for determining the minimum reinsurance retention level consistent with defined parameters. The conclusions reached were: 1. Under PDS dependence, optimal reinsurance strategy is multivariate stop loss form. 2. Explicit solutions could be derived in certain bivariate model. 3. Binding and unbinding constraints are equivalent. From Actuarial Research Clearing House, 2012, Vol. 1.

Description: This abstract is for a paper on an insurance company using diffusion approximation to find the optimal dynamic reinsurance retention together with the optimal dynamic investment strategy, to maximize the expected exponential utility at a fixed terminal time or to minimize the ruin probability.

Description: This paper considers a dependent classical risk model with diffusion, in which the premium rate is determined by the amount of the previous claim. From the Actuarial Research Clearing House, 2008, Vol.1.