This paper studies the design of Pareto-optimal reinsurance contracts in a market where the insurer and reinsurer maximize their expected utilities of end-of-period wealth. In addition, we assume that the insurer and reinsurer wish to control their solvency risks, which are defined through...

The electricity price is the sensitive signal of the supply-demand balance and some other market incidents. The analysis of the price data can provide plenty of the market information. It is helpful for the participants to understand the market and improve future strategies. However, most of the...

Optimal reinsurance policies have been studied extensively in the economics and insurance literature. Two types of optimality criteria are commonly used: maximizing the expected utility (EU) or minimizing risks. Understandably, applying the two types of criteria usually will result in different...