Reinsurance of multiple risks with generic dependence structures

M. Guerra and A.B. de Moura

Insurance: Mathematics and Economics, 2021, vol. 101, issue PB, 547-571

Abstract: We consider the optimal reinsurance problem from the point of view of a direct insurer owning several dependent risks, assuming a maximal expected utility criterion, and the independent negotiation of reinsurance for each risk. Without any particular hypothesis on the dependency structure, we show that optimal treaties exist in a class of independent randomized contracts. We derive optimality conditions and show that under mild assumptions, the optimal contracts are of a classical (non-randomized) type. A specific form of the optimality conditions applies in that case. We present a numerical scheme to solve the optimality conditions.

Keywords: Reinsurance; Dependent risks; Premium calculation principles; Expected utility; Randomized reinsurance treaties (search for similar items in EconPapers)
JEL-codes: C02 C6 C65 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167668721001463
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:101:y:2021:i:pb:p:547-571

DOI: 10.1016/j.insmatheco.2021.09.006

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().