In twin roll strip casting process, the design of casting roll is the most important equipment for producing strip. Analyses of heat transfer and deformation for the casting roll are carried out by using the finite element program, ANSYS. Both the elastic deformation and the elasto-plastic deformation under a thermal load are considered in the analysis. Optimization to minimize the volume of roll is performed under the various thermal loads such as the heat flux and the roll speed. Design variables are defined by diameters and positions of the cooling hole in the roll , Although the thermal load remarkably varies, the design variables and objective function are found to be consistent.