A diffusion model for reinsurance

Vassilis Papanicolaou (National Technical University of Athens)

We study the problem of the joint risk process undertaken by
an insurer and a reinsurer, in the diffusion approximation. Using techniques
from stochastic analysis and partial differential equations we calculate the
ruin probability of the scheme. We also propose an optimal reinsurance
scheme that minimizes this ruin probability.

(joint work with N. Fragkos, A. Yiannacopoulos, and M. Zazanis)