The need for stochastic asset models has evolved from a common global standard for risk management in the Solvency II regime in Europe, IAIS Common Principles, Global ORSA standards NAIC, EIOPA, and OSFI. But the challenges in developing markets such as; lack of good quality data, inconsistent...

This paper investigates an optimal reinsurance policy using a risk model with dependent claim and insurance premium by assuming that the insurance premium is random. Their dependence structure is modeled using Sarmanov’s bivariate exponential distribution and the Farlie–Gumbel–Morgenstern...