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 …

Stop-loss reinsurance is a risk management tool that allows an insurance company to transfer part of their risk to a … reinsurance company. Ruin probabilities allow us to measure the effect of stop-loss reinsurance on the solvency of the primary … probability when no reinsurance is bought. We develop a finite-difference method for solving the (partial integro …