Examining the global reinsurance market for catastrophic losses, we propose a new theory of optimal risk sharing that … horizontal tranching of insurance contracts (also known respectively as proportional and excess of loss reinsurance contracts …). Using a two-factor production model popular in industrial economics, we show how reinsurance should be optimally layered …

Using a unique proprietary dataset of primary insurers and reinsurers, we analyze the structure of the reinsurance … market. The dataset, which spans six years, contains the quotes for different reinsurance layers, for different clients, for … global reinsurance market using actual quotes, and not only the wining quote, for a large number of layers of a large number …