Reinsurance is an effective way for an insurance company to control its risk. How to design
an optimal reinsurance contract is not only a key topic in actuarial science, but also an …

This paper studies reinsurance contracting and competition in a continuous-time model with
ambiguity. The market consists of one insurer and two reinsurers, who apply a generalized …

In this paper, we propose to combine the Marginal Indemnification Function (MIF)
formulation and the Lagrangian dual method to solve optimal reinsurance model with …

Optimal reinsurance from an insurer's point of view or from a reinsurer's point of view has
been studied extensively in the literature. However, as two parties of a reinsurance contract …

It is well-known that Excess-of-Loss reinsurance has more marketability than Stop-Loss
reinsurance, though Stop-Loss reinsurance is the most prominent setting discussed in the …

In the presence of multiple constraints such as the risk tolerance constraint and the budget
constraint, many extensively studied (Pareto-) optimal reinsurance problems based on …

In this paper, we study optimal reinsurance treaties that minimize the liability of an insurer.
The liability is defined as the actuarial reserve on an insurer's risk exposure plus the risk …

In a reinsurance contract, a reinsurer promises to pay the part of the loss faced by an insurer
in exchange for receiving a reinsurance premium from the insurer. However, the reinsurer …

This paper unifies the work on multiple reinsurers, distortion risk measures, premium
budgets, and heterogeneous beliefs. An insurer minimizes a distortion risk measure, while …

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 premium principle. The novel …