Optimal risk transfers are derived within an insurance group consisting of two separate legal entities, operating under potentially different regulatory capital requirements and capital costs. Consistently with regulatory practice, capital requirements for each entity are computed by either a...

Intra-group transfers are risk management tools that are usually widely used to optimise the risk position of an insurance group. In this paper, it is shown that premium and liability transfers could be optimally made in such a way as to reduce the amount of Technical Provisions and Minimum...

The optimal insurance problem represents a fast growing topic that explains the most efficient contract that an insurance player may get. The classical problem investigates the ideal contract under the assumption that the underlying risk distribution is known, i.e. by ignoring the parameter and...

Decision-makers who usually face model/parameter risk may prefer to act prudently by identifying optimal contracts that are robust to such sources of uncertainty. In this paper, we tackle this issue under a finite uncertainty set that contains a number of probability models that are candidates...

This paper studies the set of Pareto optimal insurance contracts and the core of an insurance game. Our setting allows multiple insurers with translation invariant preferences. We characterise the Pareto optimal contracts, which determines the shape of the indemnities. Closed-form and numerical...

The optimal reinsurance contract is investigated from the perspective of an insurer who would like to minimise its risk exposure under Solvency II. Under this regulatory framework, the insurer is exposed to the retained risk, reinsurance premium and change in the risk margin requirement as a...

In this article, we study two broad classes of convex order related optimal insurance decision problems, in which the objective function or the premium valuation is a general functional of the expectation, Value-at-Risk and Average Value-at-Risk of the loss variables. These two classes of...