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 …

Reinsurance games with two reinsurers: Tree versus chain

J Cao, D Li, VR Young, B Zou - European Journal of Operational Research, 2023 - Elsevier
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 …

Multi-constrained optimal reinsurance model from the duality perspectives

KC Cheung, W He, H Wang - Insurance: Mathematics and Economics, 2023 - Elsevier
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 …

Optimal insurance under rank-dependent expected utility

M Ghossoub - Insurance: Mathematics and Economics, 2019 - Elsevier
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 …

[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 …

Optimal dynamic reinsurance under heterogeneous beliefs and CARA utility

H Meng, P Wei, W Zhang, SC Zhuang - SIAM Journal on Financial …, 2022 - SIAM
This paper examines the optimal dynamic reinsurance policy for an insurance company
under belief heterogeneity. We assume the reinsurance premium is calculated according to …

Optimal insurance with belief heterogeneity and incentive compatibility

Y Chi, SC Zhuang - Insurance: Mathematics and Economics, 2020 - Elsevier
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 …

Mean–variance insurance design with counterparty risk and incentive compatibility

TJ Boonen, W Jiang - ASTIN Bulletin: The Journal of the IAA, 2022 - cambridge.org
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 …

Optimal reinsurance contract and investment strategy for multiple competitive-cooperative insurers and a reinsurer

T Wang, Z Chen, P Yang - IMA Journal of Management …, 2024 - academic.oup.com
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 …

[HTML][HTML] Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs

TJ Boonen, M Ghossoub - Insurance: Mathematics and Economics, 2021 - Elsevier
This paper unifies the work on multiple reinsurers, distortion risk measures, premium
budgets, and heterogeneous beliefs. An insurer minimizes a distortion risk measure, while …