In practice, an insurance company usually has several classes of business which are more or less correlated with each other. In view of the complex nature of modern insurance products, research on modeling dependent classes of business has become an important topic in the actuarial literature. In particular, the so-called risk model with thinning dependence proposed by Wang and Yuen (2005) [Insurance: Mathematics and Economics, 36(3), 456-468] has attracted much attention in recent years. A special case of the thinning risk model is the frequently-used common shock risk model. In this talk, the problem of optimal reinsurance under thinning dependence is discussed.
