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 result of reinsurance. Depending on how the risk margin corresponding to …

This paper deals with the optimal reinsurance problem and involves the goals of both insurer and reinsurer. An … constraint must be satisfied by the selected reinsurance contract, namely, "the reinsurer increment of risk must be lower than … against the moral hazard and the spread containing the contract premium, the optimal reinsurance problem is studied under very …