We compare two types of reinsurance: excess of loss (EOL) and largest claim reinsurance (LCR), each of which transfers …. The primary insurer’s point of view is documented in terms of assessment of risk and payment of reinsurance premium. A … reinsurance. Assuming the classical compound Poisson risk model with choices of claim size distributions (classified as heavy …

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 …

insurance companies. The value of this benefit depends on several processes assumed to describe both the mortality and the … literature is devoted to the valuation of GMMB for different mortality models, in particular when the mortality dynamics is … described by affine models of diffusion type. In the present paper we assume for the mortality dynamics a self …