In this paper, we study two classes of optimal reinsurance models from the perspective of an
insurer by minimizing its total risk exposure under the criteria of value at risk (VaR) and …

The notion of a Bowley optimum has gained recent popularity as an equilibrium concept in
problems of risk sharing and optimal reinsurance. In this paper, we examine the relationship …

This paper studies the set of Pareto optimal insurance contracts and the core of an
insurance game. Our setting allows multiple insurers with translation invariant preferences …

Optimal reinsurance from an insurer's point of view or from a reinsurer's point of view has
been studied extensively in the literature. However, as two parties of a reinsurance contract …

This paper studies the optimal dynamic reinsurance policy for an insurance company whose
surplus is modeled by the diffusion approximation of the classical Cramér–Lundberg model …

The optimal insurance problem represents a fast growing topic that explains the most
efficient contract that an insurance player may get. The classical problem investigates the …

We investigate robust reinsurance contracts in two reinsurance modes, namely proportional
reinsurance and excess-loss reinsurance, in a continuous-time principal–agent framework …

This paper deals with the optimal reinsurance problem if both insurer and reinsurer are
facing risk and uncertainty, though the classical uncertainty free case is also included. The …

To manage the risk of insurance companies, a reinsurance transaction is among the myriad
risk management mechanisms the top ranked choice. In this paper, we study the design of …

Optimal risk sharing arrangements have been substantially studied in the literature, from the
aspects of generalizing objective functions, incorporating more business constraints, and …