Optimal reinsurance for a marine insurance corporation

Marine reinsurance is the transfer of risk from a direct marine insurer (a marine insurance corporation), the marine insurance cedent, to a second marine insurance carrier (another marine insurance corporation), the marine reinsurer. We deals with the model of a marine insurance corporation which has a possibility to choose among a variety of production/business policies with different risk and profit potential. A typical example of such a marine insurance corporation is the one whose different business activities correspond to choosing different levels of reinsurance. The objective of the optimal reinsurance for a marine insurance corporation is to find the policy which maximizes the expected total discounted dividend pay-out until the time of bankruptcy. The bankruptcy is defined as the time when the liquid assets of the marine insurance corporation vanish.