English

Dynamic Reinsurance Treaty Bidding via Multi-Agent Reinforcement Learning

Artificial Intelligence 2026-03-24 v2 General Economics Economics

Abstract

This paper develops a novel multi-agent reinforcement learning (MARL) framework for reinsurance treaty bidding, addressing long-standing inefficiencies in traditional broker-mediated placement processes. We pose the core research question: Can autonomous, learning-based bidding systems improve risk transfer efficiency and outperform conventional pricing approaches in reinsurance markets? In our model, each reinsurer is represented by an adaptive agent that iteratively refines its bidding strategy within a competitive, partially observable environment. The simulation explicitly incorporates institutional frictions including broker intermediation, incumbent advantages, last-look privileges, and asymmetric access to underwriting information. Empirical analysis demonstrates that MARL agents achieve up to 15% higher underwriting profit, 20% lower tail risk (CVaR), and over 25% improvement in Sharpe ratios relative to actuarial and heuristic baselines. Sensitivity tests confirm robustness across hyperparameter settings, and stress testing reveals strong resilience under simulated catastrophe shocks and capital constraints. These findings suggest that MARL offers a viable path toward more transparent, adaptive, and risk-sensitive reinsurance markets. The proposed framework contributes to emerging literature at the intersection of algorithmic market design, strategic bidding, and AI-enabled financial decision-making.

Keywords

Cite

@article{arxiv.2506.13113,
  title  = {Dynamic Reinsurance Treaty Bidding via Multi-Agent Reinforcement Learning},
  author = {Stella C. Dong and James R. Finlay},
  journal= {arXiv preprint arXiv:2506.13113},
  year   = {2026}
}

Comments

The authors have determined that the current version contains incomplete analysis and preliminary results that are not suitable for public dissemination. The paper is withdrawn pending major revision