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Reinsurance of multiple risks with generic dependence structures

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  • Manuel Guerra
  • Alexandra B. Moura

Abstract

We consider the optimal reinsurance problem from the point of view of a direct insurer owning several dependent risks, assuming a maximal expected utility criterion and independent negotiation of reinsurance for each risk. Without any particular hypothesis on the dependency structure, we show that optimal treaties exist in a class of independent randomized contracts. We derive optimality conditions and show that under mild assumptions the optimal contracts are of classical (non-randomized) type. A specific for mof the optimality conditions applies in that case. We present a numerical scheme to solve the optimality conditions.

Suggested Citation

  • Manuel Guerra & Alexandra B. Moura, 2020. "Reinsurance of multiple risks with generic dependence structures," Papers 2009.12274, arXiv.org, revised Jun 2021.
    • Handle: RePEc:arx:papers:2009.12274
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    File URL: http://arxiv.org/pdf/2009.12274
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    References listed on IDEAS

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    1. Albrecher, Hansjörg & Cani, Arian, 2019. "On randomized reinsurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 67-78.
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