The optimal reinsurance contract is investigated from the perspective of an insurer who would like to minimise its risk exposure under Solvency II. Under this regulatory framework, the insurer is exposed to the retained risk, reinsurance premium and change in the risk margin requirement as a...

This article attempts to extend Arrow's theorem of the deductible to the case of belief heterogeneity, which allows the insured and the insurer to have different beliefs about the distribution of the underlying loss. Like Huberman et al. (1983), we preclude ex post moral hazard by asking both...

In this paper, we study the optimal reinsurance designs by minimizing the risk-adjusted value of an insurer's liability, where the valuation is carried out by a cost-of-capital approach based on either value at risk or conditional value at risk. To prevent moral hazard and be consistent with the...

In this paper, we study two classes of optimal reinsurance models from the perspective of an insurer by minimizing its total risk exposure under the criteria of value at risk (VaR) and conditional value at risk (CVaR), assuming that the reinsurance premium principles satisfy three basic axioms:...

Optimal risk sharing arrangements have been substantially studied in the literature, from the aspects of generalizing objective functions, incorporating more business constraints, and investigating different optimality criteria. This paper proposes an insurance model with multiple risk...

In this paper, we extend the Cramér-Lundberg risk model perturbed by diffusion to incorporate the jumps of surplus investment return. Under the assumption that the jump of surplus investment return follows a compound Poisson process with Laplace distributed jump sizes, we obtain the explicit...

In this paper, we generalize the Cramer-Lundberg risk model perturbed by diffusion to incorporate jumps due to the surplus investment return and to relax the positive loading condition. Assuming that the surplus process has exponential upward and arbitrary downward jumps, we analyze the expected...

In this paper, we study an optimal reinsurance model from the perspective of an insurer, who has a general mean-variance preference. In order to reduce ex post moral hazard, we assume that both parties in a reinsurance contract are obligated to pay more for a larger realization of loss. We...

In this paper, we investigate the insurance choice of a risk-averse and prudent insured by assuming that the insurance premium is calculated by a general mean–variance principle. This general class of premium principles encompasses many widely used premium principles such as expected value,...

This paper studies the design of an optimal insurance contract with background risk from the perspective of an insured with a general mean-variance preference, where admissible insurance policies satisfy an incentive compatible constraint. This constraint ensures that both parties in an...