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...

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...

This paper studies bilateral risk-sharing with no aggregate uncertainty, when agents maximize rank-dependent utilities. We characterize the structure of Pareto optimal risk-sharing contracts in full generality. We then derive a necessary and sufficient condition for Pareto optima to be...

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...

This paper presents a model of a multi-divisional firm to share the joint yet uncertain and fixed cost of running a central operational unit. A firm aims at allocating this cost ex ante, subject to constraints imposed by the asymmetric and limited liabilities of the different divisions. We study...