Liang, Z. and Guo, Y. (2011) Optimal Combining Quota-Share and Excess of Loss Reinsurance to Maximize the Expected Utility. Journal of Applied Mathematics and Computing (JAMC), 36, 11-25.
http://dx.doi.org/10.1007/s12190-010-0385-8

has been cited by the following article:

• TITLE: Optimal Dynamic Proportional and Excess of Loss Reinsurance under Dependent Risks

  AUTHORS: Cristina Gosio, Ester C. Lari, Marina Ravera

  KEYWORDS: Reinsurance, Proportional Reinsurance, Excess of Loss Reinsurance, Hamilton-Jacobi-Bellman Equation

  JOURNAL NAME: Modern Economy, Vol.7 No.6, June 15, 2016

  ABSTRACT: In this paper, we study an optimal reinsurance strategy combining a proportional and an excess of loss reinsurance. We refer to a collective risk theory model with two classes of dependent risks; particularly, the claim number of the two classes of insurance business has a bivariate Poisson distribution. In this contest, our aim is to maximize the expected utility of the terminal wealth. Using the control technique, we write the Hamilton-Jacobi-Bellman equation and, in the special case of the only excess of loss reinsurance, we obtain the optimal strategy in a closed form, and the corresponding value function.