Pareto-optimal Reinsurance Under Individual Risk Constraints

2021 ◽  
Author(s):  
Mario Ghossoub ◽  
Wenjun Jiang ◽  
Jiandong Ren
Keyword(s):  
Individual Risk ◽  
Pareto Optimal ◽  
Optimal Reinsurance

scholarly journals Chains of Reinsurance Revisited

1986 ◽  
Vol 16 (2) ◽  
pp. 77-88 ◽  
Author(s):  
Jean Lemaire ◽  
Jean-Pierre Quairiere
Keyword(s):  
Utility Functions ◽  
Exponential Utility ◽  
Pareto Optimal ◽  
Optimal Reinsurance ◽  
Special Case

AbstractChains of reinsurance were first modelled by Gerber, in a special case. It is shown that more general results can be obtained by applying Borch's theorem. The Pareto-optimal reinsurance indemnities are uniquely determined using the only assumption that the participating companies use exponential utility functions. A simple comparison then shows that Gerber's indemnities are not Pareto-optimal. Even if no assumption at all is introduced, the indemnities are shown to be closely linked to the risk aversions of the participants.

Stochastic Pareto-optimal reinsurance policies

2013 ◽  
Vol 53 (3) ◽  
pp. 671-677 ◽  
Author(s):  
Xudong Zeng ◽  
Shangzhen Luo
Keyword(s):  
Pareto Optimal ◽  
Optimal Reinsurance

scholarly journals On the Optimal Risk Sharing in Reinsurance with Random Recovery Rate

Risks ◽  
2018 ◽  
Vol 6 (4) ◽  
pp. 114
Author(s):  
Chen Li ◽  
Xiaohu Li
Keyword(s):  
Asymmetric Information ◽  
Recovery Rate ◽  
Risk Sharing ◽  
Information Model ◽  
Statistical Dependence ◽  
Pareto Optimal ◽  
Insurance Claim ◽  
Optimal Reinsurance ◽  
Symmetric Information ◽  
Optimal Risk Sharing

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.

scholarly journals Pareto-Optimal Reinsurance Revisited: A Two-Stage Optimisation Procedure Approach

2020 ◽  
Vol 2020 ◽  
pp. 1-16
Author(s):  
Ying Fang ◽  
Lu Wang ◽  
Zhongfeng Qu ◽  
Wenguang Yu
Keyword(s):  
Value At Risk ◽  
Integral Form ◽  
Expected Value ◽  
Value Premium ◽  
Pareto Optimal ◽  
Two Stage ◽  
Optimal Reinsurance ◽  
Incentive Compatible ◽  
Ex Post ◽  
Optimisation Procedure

In this paper, based on the Tail-Value-at-Risk (TVaR) measure, we revisit the Pareto-optimal reinsurance policies for the insurer and the reinsurer via a two-stage optimisation procedure. To reduce ex-post moral hazard, we assume that reinsurance contracts satisfy the principle of indemnity and the incentive compatible constraint which have been advocated by Huberman et al. (1983). We show that the Pareto-optimal reinsurance policy exists if the reinsurance premiums can be expressed as an integral form. The proposed class of premium principles encompasses the net premium principle, expected value premium principle, TVaR premium principle, generalized percentile premium principle, and so on. We further use the TVaR premium principle and the expected value premium principle as examples to illustrate the two-stage optimisation procedure by deriving explicitly the Pareto-optimal reinsurance policies. We extend the results by Cai et al. (2017) when the expected value premium principle is replaced by the TVaR premium principle.

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