On the optimal risk sharing in reinsurance with random recovery rate

Chen Li; Xiaohu Li

doi:10.3390/risks6040114

On the optimal risk sharing in reinsurance with random recovery rate

Chen Li
, Xiaohu Li

Department of Mathematical Sciences

Tianjin University of Commerce

Research output: Contribution to journal › Article › peer-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 language	English
Article number	114
Journal	Risks
Volume	6
Issue number	4
DOIs	https://doi.org/10.3390/risks6040114
State	Published - Dec 2018

Keywords

Indemnity schedule
Pareto-optimal
Recovery rate
Stochastically decreasing

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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.",

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AB - 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.

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KW - Pareto-optimal

KW - Recovery rate

KW - Stochastically decreasing

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On the optimal risk sharing in reinsurance with random recovery rate

Abstract

Keywords

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