On the optimal risk sharing in reinsurance with random recovery rate

Chen Li, Xiaohu Li

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

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.

Original languageEnglish
Article number114
JournalRisks
Volume6
Issue number4
DOIs
StatePublished - Dec 2018

Keywords

  • Indemnity schedule
  • Pareto-optimal
  • Recovery rate
  • Stochastically decreasing

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