Asimit, Alexandru V.; Badescu, Alexandru M.; Cheung, Ka Chun - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 690-697
The optimal reinsurance arrangement is identified whenever the reinsurer counterparty default risk is incorporated in a one-period model. Our default risk model allows the possibility for the reinsurer to fail paying in full the promised indemnity, whenever it exceeds the level of regulatory...
