Description: This presentation discusses a process for determining the minimum reinsurance retention level consistent with defined parameters. The conclusions reached were: 1. Under PDS dependence, optimal reinsurance strategy is multivariate stop loss form. 2. Explicit solutions could be derived in certain bivariate model. 3. Binding and unbinding constraints are equivalent. From Actuarial Research Clearing House, 2012, Vol. 1.

Description: In the context of reinsurance, this paper addresses finding the quota share retention level and the retention limit, with a diffusion process being added to the claim process, that maximizes the adjustment coefficient in the Sparre Anderson model. From Actuarial Research Clearing House, 2006.

Description: This paper presents an introduction to collective risk theory. In collective risk theory one seeks to investigate directly the risk enterprise as a whole. Primary interest is focused not upon the gains, losses, or claims from individual policies but upon the amount of total claims or the total gain arising from all the policies in the portfolio considered. Followed by several discussion papers submitted.