Reinsurance of multiple risks with generic dependence structures
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.
Keywords
Cite
@article{arxiv.2009.12274,
title = {Reinsurance of multiple risks with generic dependence structures},
author = {Manuel Guerra and Alexandra B. Moura},
journal= {arXiv preprint arXiv:2009.12274},
year = {2021}
}
Comments
A mistake on Proposition 3.2 was corrected. A new section on computation of optimal strategies was added. Several additions to the text. Examples were corrected