In this paper, we study Pareto optimality of reinsurance arrangements under general model settings. We give the necessary and sufficient conditions for a reinsurance contract to be Pareto-optimal and characterize all Pareto-optimal reinsurance contracts under more general model assumptions. We...

A basic assumption of the classic reinsurance model is that the distribution of the loss is precisely known. In practice, only partial information is available for the loss distribution due to the lack of data and estimation error. We study a distributionally robust reinsurance problem by...

A basic assumption of the classic reinsurance model is that the distribution of the loss is precisely known. In practice, only partial information is available for the loss distribution due to the lack of data and estimation error. We study a distributionally robust reinsurance problem by...

It is natural to connect reinsurance problems with risk measures since a reinsurance contract is an efficient risk management tool for an insurer and the reinsurance premium can also be viewed as a measure of a reinsurer's risk. In this paper, we assume that the insurer uses a law-invariant...