On the Optimal Risk Sharing in Reinsurance with Random Recovery Rate

Chen Li and Xiaohu Li
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Chen Li: School of Science, Tianjin University of Commerce, Tianjin 300134, China
Xiaohu Li: Department of Mathematical Sciences, Stevens Institute of Technology, Hoboken, NJ 07030, USA

Risks, 2018, vol. 6, issue 4, 1-16

Abstract: This paper studies a Pareto-optimal reinsurance contract in the presence of negative statistical dependence between the insurance claim and the random recovery rate. In the context of symmetric information model and asymmetric information model, we investigate properties of the Pareto-optimal indemnity schedules. For risk neutral reinsurer with proportional cost and associated expense, we present possible forms of the Pareto-optimal indemnity schedule as well.

Keywords: Pareto-optimal; recovery rate; indemnity schedule; stochastically decreasing (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:6:y:2018:i:4:p:114-:d:174388

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