Highlights• The optimal reinsurance problem from the point of view of both parties.• The absolute value of the difference between the insurer's and the reinsurer's profits.• Model simulation with stop-loss and excess-of-loss reinsurance arrangements.

Dynamic Financial Analysis (DFA) is used by insurance companies for an efficient asset liability management and profit optimization; to measure ruin probability and reduce various risks. In this paper, the influence of the dependence between compulsory motor insurance and motor own damage insurance, that are two really important lines of business for nonlife insurance, on the risk, return and performance in a nonlife insurer's DFA is investigated. The dependency is integrated to the DFA framework using copulas. In the application non-life insurance data of Turkey is used.