Kam Chuen Yuen

Optimal reinsurance under thinning dependence

In practice, an insurance company usually has several classes of business which are more or less correlated with each other. In view of the complex nature of modern insurance products, research on modeling dependent classes of business has become an important topic in the actuarial literature. This talk discusses the so-called risk model with thinning dependence proposed by Wang and Yuen (2005) [Insurance: Mathematics and Economics, 36(3), 456-468]. A special case of this model is the frequently-used common shock risk model. Based on the thinning dependence, optimal proportional reinsurance is discussed under the criterion of maximizing adjustment coefficient.