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arXiv · 2009.12274

Reinsurance of multiple risks with generic dependence structures

Manuel Guerra·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.

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Manuel Guerra, Alexandra B. Moura. 2020-09-25. Reinsurance of multiple risks with generic dependence structures. https://arxiv.org/abs/2009.12274

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