In this paper we try to derive an optimal insurance treaty when the insured faces multiple sources of risk. We show that the deductible insurance is optimal when the insurable and uninsurable risks are positively dependent or independent within the expected utility framework. A necessary...

Most of the studies on optimal reinsurance are from the viewpoint of the insurer and the optimal ceded functions always turn out to be convex. However reinsurance contracts always involve a limit on the ceded loss function in practice, thus it may not be enough to confine the analysis to the...