This paper unifies the work on multiple reinsurers, distortion risk measures, premium budgets,and heterogeneous beliefs. An insurer minimizes a distortion risk measure, while seekingreinsurance with finitely many reinsurers. The reinsurers use distortion premium principles, andthey are allowed...

The notion of a Bowley optimum has gained recent popularity as an equilibrium concept in problems of risk sharing and optimal reinsurance. In this paper, we examine the relationship between Bowley optimality and Pareto efficiency in a problem of optimal reinsurance, under fairly general...

This paper studies the design of Pareto-optimal reinsurance contracts in a market where the insurer and reinsurer maximize their expected utilities of end-of-period wealth. In addition, we assume that the insurer and reinsurer wish to control their solvency risks, which are defined through...

We study equilibria in a reinsurance market with multiple reinsurers that are endowed with heterogeneous beliefs, where preferences are given by distortion risk measures, and pricing is done via Choquet integrals. We construct a model in the form of a sequential economic game, where the...