Boonen, Tim J.; Ghossoub, Mario - 2022
optimal reinsurance. In this paper, we examine the relationship between Bowley optimality and Pareto efficiency in a problem … of optimal reinsurance, under fairly general preferences. Specifically, while we show that Bowley-optimal contracts are … that make the insurer indifferent between suffering the loss and entering into the reinsurance contract are Bowley optimal …