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The Costs and Benefits of Reinsurance [PDF]
SSRN Electronic Journal, 2008 Purchasing reinsurance reduces insurers’ insolvency risk by stabilising loss experience, increasing capacity, limiting liability on specific risks and/or protecting against catastrophes. Consequently, purchasing reinsurance should reduce capital costs. However, transferring risk to reinsurers is expensive.
J. David Cummins +3 more
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Optimal reinsurance: a reinsurer’s perspective [PDF]
Annals of Actuarial Science, 2017 AbstractIn this paper, the optimal safety loading that the reinsurer should set in the reinsurance pricing is studied, which is novel in the literature. It is first assumed that the insurer will choose the form of the reinsurance contract by following the results derived in Cai et al.
Huang, Fei, Yu, Honglin
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Robust optimal investment-reinsurance strategies with the preferred reinsurance level of reinsurer
AIMS Mathematics, 2022 <abstract><p>This paper investigates robust equilibrium investment-reinsurance strategy for a mean variance insurer. With a larger market share, a reinsurer has a greater say in negotiating reinsurance contracts and makes the decision to propose the preferred level of reinsurance and charges extra fees as a penalty for losses that deviate ...
Wanlu Zhang, Hui Meng
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Optimal Reinsurance with One Insurer and Multiple Reinsurers [PDF]
SSRN Electronic Journal, 2015 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.
Boonen, T., Tan, K.S., Zhuang, S.C.
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Optimal dividend and reinsurance in the presence of two reinsurers [PDF]
Journal of Applied Probability, 2016 Abstract In this paper the optimal dividend (subject to transaction costs) and reinsurance (with two reinsurers) problem is studied in the limit diffusion setting. It is assumed that transaction costs and taxes are required when dividends occur, and that the premiums charged by two reinsurers are calculated according to the exponential premium ...
Chen, M, Yuen, KC
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Optimal reinsurance with default risk: A reinsurer's perspective
Journal of Industrial & Management Optimization, 2021 In this paper, we study the optimal reinsurance design with default risk by minimizing the VaR (value at risk) of the reinsurer's total risk exposure. The optimal reinsurance treaty is provided. When the reinsurance premium principle is specified to the expected value and exponential premium principles, the explicit expressions for the optimal ...
Tao Chen +4 more
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Optimal dynamic reinsurance with worst-case default of the reinsurer
European Actuarial Journal, 2022 AbstractWe consider the optimization problem of a large insurance company that wants to maximize the expected utility of its surplus through the optimal control of the proportional reinsurance. In addition, the insurer is exposed to the risk of default of its reinsurer at the worst possible time, a setting that is closely related to a scenario of the ...
Ralf Korn, Lukas Müller
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Journal of Risk and Insurance, 2006 AbstractThe reinsurance market is the secondary market for insurance risks. It has a very specific organization. Direct insurers rarely trade risks with each other. Rather, they cede part of their primary risks to specialized professional reinsurers who have no primary business.
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