This paper studies an optimal reinsurance problem of Pareto-optimality when the contract is subject to default of the …'s end-of-period wealth is insufficient to cover the indemnity. We show that without the solvency regulation, the optimal … indemnity function is of excess-of-loss form, regardless of the investment decision. We model solvency regulation as a …

I assess how Basel III, Solvency II and the low interest rate environment will affect the financial connection between …

supply of intermediary capital is perfectly elastic. We take the US catastrophe reinsurance market as an example, using … results suggest that the price of reinsurance generally exceeds fair' values, particularly in the aftermath of large events …