Description: This is the abstract for the paper on optimal risk retention under reciprocal reinsurance with exponential utility functions.

Description: This abstract is for a paper on an insurance company using diffusion approximation to find the optimal dynamic reinsurance retention together with the optimal dynamic investment strategy, to maximize the expected exponential utility at a fixed terminal time or to minimize the ruin probability.

Description: This paper considers a dependent classical risk model with diffusion, in which the premium rate is determined by the amount of the previous claim. From the Actuarial Research Clearing House, 2008, Vol.1.