This research studies a dynamic reinsurance model for an ambiguity-averse insurer. The insurer can manage its risk exposure through the purchase of reinsurance and the issuance of catastrophe bonds (CAT bonds) which are linked to an exogenous trigger index. The insurer worries about the veracity...

Intro -- Title Page -- Copyright page -- Contents -- Preface -- Chapter 1 Introduction -- 1.1 What is Reinsurance? -- 1.2 Why Reinsurance? -- 1.3 Reinsurance Data -- 1.3.1 Case Study I: Motor Liability Data -- 1.3.2 Case Study II: Dutch Fire Insurance Data -- 1.3.3 Case Study III: Austrian Storm...

In this paper, we consider a two-dimensional risk process in which the companies split each claim and premium in a fixed proportion. It serves as a classical framework of a quota-share reinsurance contract for a given business line. Such a contract reduces the insurer's exposure to the...

Stop-loss reinsurance is a risk management tool that allows an insurance company to transfer part of their risk to a reinsurance company. Ruin probabilities allow us to measure the effect of stop-loss reinsurance on the solvency of the primary insurer. They further permit the calculation of the...