Optimal reinsurance design for Pareto optimum: from the perspective of multiple reinsurers
Summary: This paper investigates optimal reinsurance strategies for an insurer which cedes the insured risk to multiple reinsurers. Assume that the insurer and every reinsurer apply the coherent risk measures. Then, we find out the necessary and sufficient conditions for the reinsurance market to achieve Pareto optimum; that is, every ceded-loss function and the retention function are in the form of ``multiple layers reinsurance''.
scientific article; zbMATH DE number 6952870
scientific article