In this paper, we consider a one-period optimal reinsurance design model with n reinsurers and an insurer. For very general preferences of the insurer, we obtain that there exists a very intuitive pricing formula for all reinsurers that use a distortion premium principle. The insurer determines...

This paper studies an optimal reinsurance problem of Pareto-optimality when the contract is subject to default of the reinsurer. We assume that the reinsurer can invest a share of its wealth in a risky asset and default occurs when the reinsurer's end-of-period wealth is insufficient to cover...

Flood risk has consistently been ranked as one of the major emerging risks, with the potential of having a substantial systemic impact on the insurance industry. In this paper, we provide a micro-economic foundation for a flood risk insurance market. Specifically, we characterize Pareto-optimal...

This paper studies the Bowley solution for a sequential game within the expected utility framework. We assume that the policyholders are expected utility maximizers, and there exists a representative policyholder who faces a fixed loss with given probability and no loss otherwise. This...

This paper examines the consequences for a life annuity insurance company if the Solvency II Solvency Capital Requirements (SCR) are calibrated based on Expected Shortfall (ES) instead of Value-at-Risk (VaR). We focus on the risk modules of the SCRs for the three risk classes equity risk,...