In this paper, we study optimal reinsurance design by minimizing the risk-adjusted value of an insurer’s liability … at risk. To prevent moral hazard and to be consistent with the spirit of reinsurance, we follow Vajda (1962) and assume … optimal solutions for a wide class of reinsurance premium principles which satisfy three axioms (law invariance, risk loading …

The optimal reinsurance problem is a classic topic in Actuarial Mathematics. Recent approaches consider a coherent or … optimal reinsurance with respect to the risk measure that the insurer uses. We will demonstrate that there is a “stable … optimal retention” that will show no sensitivity, insofar as it will solve the optimal reinsurance problem for many risk …

Examining the global reinsurance market for catastrophic losses, we propose a new theory of optimal risk sharing that … finds its inspiration in the economic theory of the firm. Our model offers a theoretical foundation for the vertical and … horizontal tranching of insurance contracts (also known respectively as proportional and excess of loss reinsurance contracts …

This technical note discusses key findings of the assessment of Insurance Core Principles (ICP) for the reinsurance … industry for Switzerland. It reveals that the Swiss reinsurance market is dominated by three large players with a strong … international presence. The reinsurance industry comprises 20 professional reinsurers and 50 reinsurance captives with gross …