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This paper studies the problem of optimal reinsurance contract design. We let the insurer use dual utility, and the premium is an extended Wang's premiumprinciple. The novel contribution is that we allow for heterogeneity in the beliefs regarding the underlying probability distribution. We...
Persistent link: https://www.econbiz.de/10011709564
In this paper, we consider a one-period optimal reinsurance design model with n reinsurers and an insurer. For very general preferences of the insurer, we obtain that there exists a very intuitive pricing formula for all reinsurers that use a distortion premium principle. The insurer determines...
Persistent link: https://www.econbiz.de/10013019602
This paper studies optimal insurance in partial equilibrium in case the insurer is protected by limited liability, and the multivariate insured risk is exchangeable. We focus on the optimal allocation of remaining assets in default. We show existence of an equilibrium in the market. In such an...
Persistent link: https://www.econbiz.de/10012902949
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...
Persistent link: https://www.econbiz.de/10013239702
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...
Persistent link: https://www.econbiz.de/10013243520
Flood risk has consistently been ranked as one of the major emerging risks, with the potential of having a substantial systemic impact on the insurance industry. In this paper, we provide a micro-economic foundation for a flood risk insurance market. Specifically, we characterize Pareto-optimal...
Persistent link: https://www.econbiz.de/10013491728
This paper studies the Bowley solution for a sequential game within the expected utility framework. We assume that the policyholders are expected utility maximizers, and there exists a representative policyholder who faces a fixed loss with given probability and no loss otherwise. This...
Persistent link: https://www.econbiz.de/10014355540