Reinsurance is an effective way for an insurance company to control its risk. How to design
an optimal reinsurance contract is not only a key topic in actuarial science, but also an …

The notion of a Bowley optimum has gained recent popularity as an equilibrium concept in
problems of risk sharing and optimal reinsurance. In this paper, we examine the relationship …

This paper studies the set of Pareto optimal insurance contracts and the core of an
insurance game. Our setting allows multiple insurers with translation invariant preferences …

We investigate robust reinsurance contracts in two reinsurance modes, namely proportional
reinsurance and excess-loss reinsurance, in a continuous-time principal–agent framework …

In the seminal work of Chan and Gerber (1985), one of the earliest game theoretical
approaches was proposed to model the interaction between the reinsurer and insurer; in …

To manage the risk of insurance companies, a reinsurance transaction is among the myriad
risk management mechanisms the top ranked choice. In this paper, we study the design of …

Optimal risk sharing arrangements have been substantially studied in the literature, from the
aspects of generalizing objective functions, incorporating more business constraints, and …

In this paper, we study the optimal reinsurance policies as the result of a two-person
cooperative game. We assume that both the insurer and the reinsurer are risk averse and …

In this paper, we compute the Bowley solution of a one-period, mean–variance Stackelberg
game in insurance, in which a buyer and a seller of insurance are the two players, and they …

We introduce a strategic behavior in reinsurance bilateral transactions, where agents
choose the risk preferences they will appear to have in the transaction. Within a wide class …