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Reinsurance of multiple risks with generic dependence structures

Manuel Guerra and Alexandra B. Moura

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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 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 classical (non-randomized) type. A specific for mof the optimality conditions applies in that case. We present a numerical scheme to solve the optimality conditions.

Date: 2020-09, Revised 2021-06
New Economics Papers: this item is included in nep-rmg and nep-upt
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