Pareto-optimal reinsurance for both the insurer and the reinsurer with general premium principles

Ying Fang, Xia Wang, Hongli Liu and Tong Li

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 24, 6134-6154

Abstract: In this paper, we study Pareto-optimal reinsurance policies from the perspectives of an insurer and a reinsurer, assuming reinsurance premium principles satisfy risk loading and stop-loss ordering preserving. By geometric approach, we determine the forms of the optimal policies among two classes of ceded loss functions, the class of increasing convex ceded loss functions and the class that the constraints on both ceded and retained loss functions are relaxed to increasing functions. Then we demonstrate the applicability of our results by giving the parameters of the optimal ceded loss functions under Dutch premium principle and Wang’s premium principle.

Date: 2019
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DOI: 10.1080/03610926.2018.1528364

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