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 …

We investigate optimal reinsurance and asset allocation strategies for an insurer who is concerned about changes in … economic conditions. Numerical examples with carefully estimated parameters show that optimal reinsurance and asset allocation … reinsurance strategy, asset allocation strategy, or both, of insurance companies …

Reinsurance is a versatile risk management strategy commonly employed by insurers to optimize their risk profile. In … this paper, we study an optimal reinsurance design problem minimizing a general law-invariant coherent risk measure of the … reinsurance premium principle and a premium budget constraint. Due to its intrinsic generality, this contract design problem …

optimal reinsurance. In this paper, we examine the relationship between Bowley optimality and Pareto efficiency in a problem … of optimal reinsurance, under fairly general preferences. Specifically, while we show that Bowley-optimal contracts are … that make the insurer indifferent between suffering the loss and entering into the reinsurance contract are Bowley optimal …

This paper studies the design of Pareto-optimal reinsurance contracts in a market where the insurer and reinsurer …

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 …

We study equilibria in a reinsurance market with multiple reinsurers that are endowed with heterogeneous beliefs, where …

We study blockchain adoption in insurance-reinsurance markets. Unlike standard operational costs related to claim … insurance firms, we quantify how the equilibrium adoption decisions depend on the reinsurance contract characteristics, the risk … reinsurance firm acts as a central planner in the blockchain consortium, the optimal adoption rate from planner’s viewpoint is …

This paper studies excess of loss reinsurance with reinstatements in the case in which the aggregate claims are …