Huang, Yuxia; Chi, Yichun; Hu, Tao - 2023
expected utility by purchasing reinsurance and managing reinsurance counterparty risk with a default-free hedging instrument …, where the reinsurance premium is calculated by the expected value principle and the price of the hedging instrument equals … imposing the no-sabotage condition on reinsurance contracts and derive the optimal strategy analytically. Surprisingly, we find …