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 language | English |
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Article number | 114 |
Journal | Risks |
Volume | 6 |
Issue number | 4 |
DOIs | |
State | Published - Dec 2018 |
Keywords
- Indemnity schedule
- Pareto-optimal
- Recovery rate
- Stochastically decreasing