IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v216y2025ics0167715224002499.html
   My bibliography  Save this article

An equilibrium model of reinsurance pricing

Author

Listed:
  • Cheng, Jiang
  • Deng, Chao
  • Liu, Shuyan
  • Zeng, Xudong

Abstract

Reinsurance is the insurance of insurance companies. We develop a dynamic equilibrium model for reinsurance pricing based on the supply and demand of reinsurance. In the model, an insurance company and a reinsurance company make decisions on the optimal reinsurance policy as a demander and a supplier of reinsurance, respectively. The reinsurance price is determined when the demand matches the supply. We incorporate the proportional reinsurance policy as well as investment opportunities into the framework. The high flexibility of this equilibrium pricing model paves a new way for studies of optimal reinsurance and reinsurance pricing.

Suggested Citation

  • Cheng, Jiang & Deng, Chao & Liu, Shuyan & Zeng, Xudong, 2025. "An equilibrium model of reinsurance pricing," Statistics & Probability Letters, Elsevier, vol. 216(C).
    • Handle: RePEc:eee:stapro:v:216:y:2025:i:c:s0167715224002499
    DOI: 10.1016/j.spl.2024.110280
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715224002499
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2024.110280?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:216:y:2025:i:c:s0167715224002499. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.