Optimal reinsurance designs based on risk measures: A review

J Cai, Y Chi - Statistical Theory and Related Fields, 2020 - Taylor & Francis
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 …

Bowley vs. Pareto optima in reinsurance contracting

TJ Boonen, M Ghossoub - European Journal of Operational Research, 2023 - Elsevier
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 …

Insurance with multiple insurers: A game-theoretic approach

V Asimit, TJ Boonen - European Journal of Operational Research, 2018 - Elsevier
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 …

Robust reinsurance contracts with uncertainty about jump risk

D Hu, S Chen, H Wang - European Journal of Operational Research, 2018 - Elsevier
We investigate robust reinsurance contracts in two reinsurance modes, namely proportional
reinsurance and excess-loss reinsurance, in a continuous-time principal–agent framework …

Risk-adjusted Bowley reinsurance under distorted probabilities

KC Cheung, SCP Yam, Y Zhang - Insurance: Mathematics and Economics, 2019 - Elsevier
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 …

[HTML][HTML] A marginal indemnity function approach to optimal reinsurance under the Vajda condition

TJ Boonen, W Jiang - European Journal of Operational Research, 2022 - Elsevier
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 …

[HTML][HTML] Risk sharing with multiple indemnity environments

AV Asimit, TJ Boonen, Y Chi, WF Chong - European Journal of Operational …, 2021 - Elsevier
Optimal risk sharing arrangements have been substantially studied in the literature, from the
aspects of generalizing objective functions, incorporating more business constraints, and …

On optimal reinsurance treaties in cooperative game under heterogeneous beliefs

W Jiang, J Ren, C Yang, H Hong - Insurance: Mathematics and Economics, 2019 - Elsevier
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 …

Bowley solution of a mean–variance game in insurance

D Li, VR Young - Insurance: Mathematics and Economics, 2021 - Elsevier
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 …

[HTML][HTML] Nash equilibria in optimal reinsurance bargaining

M Anthropelos, TJ Boonen - Insurance: Mathematics and Economics, 2020 - Elsevier
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 …