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 …

This paper studies reinsurance contracting and competition in a continuous-time model with
ambiguity. The market consists of one insurer and two reinsurers, who apply a generalized …

In the presence of multiple constraints such as the risk tolerance constraint and the budget
constraint, many extensively studied (Pareto-) optimal reinsurance problems based on …

We re-visit the problem of optimal insurance design under Rank-Dependent Expected Utility
(RDEU) examined by Bernard et al.(2015), Xu (2018), and Xu et al.(2018). Unlike the latter …

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

This paper examines the optimal dynamic reinsurance policy for an insurance company
under belief heterogeneity. We assume the reinsurance premium is calculated according to …

People may evaluate risk differently in the insurance market. Motivated by this, we examine
an optimal insurance problem allowing the insured and the insurer to have heterogeneous …

This paper studies the optimal insurance design from the perspective of an insured when
there is possibility for the insurer to default on its promised indemnity. Default of the insurer …

Abstract Accepted by: Giorgio Consigli In this article, we consider a reinsurance contract
design by taking into account the joint interests of multiple insurers and a reinsurer. The …

This paper unifies the work on multiple reinsurers, distortion risk measures, premium
budgets, and heterogeneous beliefs. An insurer minimizes a distortion risk measure, while …