Participating contracts are popular insurance policies, in which the payoff to a policyholder is linked to the performance of a portfolio managed by the insurer. We consider the portfolio selection problem of an insurer that offers participating contracts and has an S-shaped utility function....

This paper studies the optimal risk-sharing between an insurer and a reinsurer. The insurer purchases reinsurance for risk-control and decides her retention level with an objective to minimize her ruin probability. The reinsurer has control over the reinsurance price and aims to maximize her...