Optimal reinsurance in a compound Poisson risk model with dependence

This paper considers the problem of optimal reinsurance in a compound Poisson risk model with dependent classes of insurance business. It is assumed that the risk process in each class follows a compound Poisson process, and that all classes are correlated due to the so-called thinning-dependence structure. Under the criterion of maximizing the adjustment coefficient, methods for finding the optimal reinsurance strategies are discussed for both...