This paper studies the Pareto-optimal reinsurance policies, where both the insurer's and the reinsurer's risks and returns are considered. We assume that the risks of the insurer and the reinsurer, as well as the reinsurance premium, are determined by some distortion risk measures with different...

A new multivariate distribution possessing arbitrarily parametrized univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010). “On a multivariate Pareto distribution,” Insurance: Mathematics and Economics 46(2),...

Previous studies have found that self-employed workers with long business tenure earn less than other workers with similar characteristics. This difference in earnings can be explained by the compensating wage differential theory when self-employed jobs have attractive, non-pecuniary aspects....