This study investigates risk-seeking and optimal decisions of annuity providers. On the basis of a sample of U.S. life and annuity (L/A) insurers between 1997 and 2016, the results show clear performance-dependent risk attitudes. Specifically, insurers with returns below aspiration levels take...

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...