Modeling the Optimal Combination of Proportional and Stop-Loss Reinsurance with Dependent Claim and Stochastic Insurance Premium

This paper investigates an optimal reinsurance policy using a risk model with dependent claim and insurance premium by assuming that the is random. Their dependence structure modeled Sarmanov’s bivariate exponential distribution Farlie–Gumbel–Morgenstern (FGM) copula-based distribution. The paid insurer to reinsurer fixed charged expected value principle (EVPP) standard deviation (SDPP). main objective of this determine proportion retention limit combination proportional stop-loss for insurer. Specifically, constrained premium, we use minimization Value-at-Risk (VaR) insurer’s net cost. When determining limit, provide some numerical examples illustrate theoretical results. We show parameter, probability occurrence, confidence level have effects on VaR