This paper studies an optimal reinsurance problem of Pareto-optimality when the contract is subject to default of the reinsurer. We assume that the reinsurer can invest a share of its wealth in a risky asset and default occurs when the reinsurer's end-of-period wealth is insufficient to cover...

Optimal risk sharing arrangements have been substantially studied in the literature, from the aspects of generalizing objective functions, incorporating more business constraints, and investigating different optimality criteria. This paper proposes an insurance model with multiple risk...

Motivated by macroeconomic risks, such as the COVID-19 pandemic, we consider different risk management platforms and study efficient insurance schemes in the presence of systematic events. More precisely, we consider three platforms: the risk-sharing, insurance and market platform. First, we...