An equilibrium model of reinsurance pricing

Jiang Cheng, Chao Deng, Shuyan Liu and Xudong Zeng

Statistics & Probability Letters, 2025, vol. 216, issue C

Abstract: Reinsurance is the insurance of insurance companies. We develop a dynamic equilibrium model for reinsurance pricing based on the supply and demand of reinsurance. In the model, an insurance company and a reinsurance company make decisions on the optimal reinsurance policy as a demander and a supplier of reinsurance, respectively. The reinsurance price is determined when the demand matches the supply. We incorporate the proportional reinsurance policy as well as investment opportunities into the framework. The high flexibility of this equilibrium pricing model paves a new way for studies of optimal reinsurance and reinsurance pricing.

Keywords: Reinsurance pricing; Equilibrium model; Optimal reinsurance; Dynamic programming (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spl.2024.110280

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