In this paper, we consider a one-period optimal reinsurance design model with n reinsurers and an insurer. For very general preferences of the insurer, we obtain that there exists a very intuitive pricing formula for all reinsurers that use a distortion premium principle. The insurer determines...

This paper studies the design of an optimal insurance contract with background risk from the perspective of an insured with a general mean-variance preference, where admissible insurance policies satisfy an incentive compatible constraint. This constraint ensures that both parties in an...

PurposeThe purpose of this paper is to propose an improved reinsurance pricing framework, which includes a crop yield forecasting model that integrates weather variables and crop production information from different geographically correlated regions using a new credibility estimator, and closed...

We study economic pricing of reinsurance contracts via competition of an insurer with multiple reinsurers. All firms are endowed with distortion risk measures or expected exponential utilities. We require that contracts are Pareto optimal, individually rational, and satisfy a competition...

This paper studies the optimal dynamic reinsurance policy for an insurance company whose surplus is modeled by the diffusion approximation of the classical Cramér-Lundberg model. We assume the reinsurance premium is calculated according to a proposed Mean-CVaR premium principle which...

Optimal contracts have widely been studied in the literature, yet the bargaining for optimal prices has remained relatively unexplored. Therefore the key objective of this paper is to analyze the price of reinsurance contracts. We use a novel way to model the bargaining powers of the insurer and...

This paper proposes a novel and practical approach of addressing optimal reinsurance via an empirical approach. This method formulates reinsurance models using the observed data directly and has advantages including (i) transformation of an infinite dimensional optimization problem to finite...

In this paper, we propose to combine the Marginal Indemnification Function (MIF) formulation and the Lagrangian dual method to solve optimal reinsurance model with distortion risk measure and distortion reinsurance premium principle. The MIF method exploits the absolute continuity of admissible...

Purpose - The primary objective of this paper is to analyze the optimal reinsurance contract structure from the crop insurer’s perspective. Design/Methodology/Approach - A very powerful and flexible empirical-based reinsurance model is used to analyze the optimal form of the reinsurance...

In this paper, we study two classes of optimal reinsurance models from the perspective of an insurer by minimizing its total risk exposure under the criteria of value at risk (VaR) and conditional value at risk (CVaR), assuming that the reinsurance premium principles satisfy three basic axioms:...