A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
A reinsurance contract should address the conflicting interests of the insurer and reinsurer. Most of existing optimal reinsurance contracts only considers the interests of one party. This article combines the proportional and stop-loss reinsurance contracts and introduces a new reinsurance contract called proportional…
Study optimal investment-reinsurance strategies in equity-linked insurance products using Stackelberg game theory.
problem Optimizing investment and reinsurance strategies in equity-linked insurance products with capital guarantees.
method Modelled as a Stackelberg game where reinsurer acts as leader and insurer as follower, with general utility functions and power utility functions analyzed.
result Derive Stackelberg equilibrium for general utility functions and calculate it explicitly for power utility functions, finding reinsurer optimizes premium to incentivize maximal reinsurance purchase.
Study optimal reinsurance and investment to minimize drawdown risk.
problem Minimizing drawdown risk in a risk model with correlated insurance claims.
method Optimal reinsurance-investment strategy under expected value and variance premium principles, considering per-loss reinsurance and financial market investment.
result Closed-form expressions for optimal reinsurance-investment strategies and value functions.
A usual reinsurance policy for insurance companies admits one or two layers of the payment deductions. Under optimal criterion of minimizing the conditional tail expectation (CTE) risk measure of the insurer's total risk, this article generalized an optimal stop-loss reinsurance policy to an optimal multi-layer reinsur…
In this paper we consider reinsurance or risk sharing from a macroeconomic point of view. Our aim is to find socially optimal reinsurance treaties. In our setting we assume that there are n insurance companies each bearing a certain risk and one representative reinsurer. The optimization problem is to minimize the su…
Reinsurance can help life insurers maintain higher capital guarantees without losing utility.
problem Decreasing capital guarantees in life insurance products.
method Dynamic investment-reinsurance optimization problem with simultaneous Value-at-Risk and no-short-selling constraints. Introduced guarantee-equivalent utility gain for comparison.
result Optimally managed reinsurance allows insurers to offer higher capital guarantees without reducing expected utility.
Study optimal reinsurance contracts to prevent moral hazard under non-concave premium principles.
problem Preventing moral hazard in reinsurance contracts under non-concave premium principles.
method Develops optimal reinsurance contracts under a diffusion risk model with incentive compatibility constraints and extended distortion premium principles.
result An optimal reinsurance contract exists and is characterized by solving a double obstacle problem.
Optimal reinsurance contracts for multiple dependent risks are derived without specific dependency assumptions.
problem Finding optimal reinsurance contracts for multiple dependent risks without assuming their dependency structure.
method Assumes maximal expected utility criterion and independent negotiation of reinsurance for each risk. Derives optimality conditions and shows that under mild assumptions, optimal contracts are classical (non-randomized) type.
result Optimal reinsurance contracts exist and can be classical (non-randomized) type under mild assumptions.
Optimal reinsurance strategies for multi-line insurance companies.
problem Choosing the best dynamic reinsurance policies for multi-line insurance companies.
method Characterized the optimal survival function as the unique nondecreasing viscosity solution of the HJB equation, solved numerically using the finite difference method.
result Provided proof of convergence of numerical solution to the survival probability function.
In this paper, we study two classes of optimal reinsurance models from perspectives of both insurers and reinsurers by minimizing their convex combination where the risk is measured by a distortion risk measure and the premium is given by a distortion premium principle. Firstly, we show that how optimal reinsurance mod…
In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk measure and the premium is given by a distortion risk premium. First, we show how the optimal reinsurance design for the ceding company, the reinsurance company and the social planner can be formulated i…
Optimal reinsurance balances risk over surplus ratios for risk-adjusted surplus.
problem Balancing risk over surplus ratios in reinsurance contracts.
method Analyzes reinsurance contracts using Value at Risk and expected surplus ratio, derives simplifications for large portfolios, and considers approximations of the optimum portfolio.
result One or two-layer contracts are optimal for both risk-adjusted surplus and risk over expected surplus ratio, but no second layer for large portfolios or below certain reinsurance prices.
In this paper, we study an insurer's reinsurance-investment problem under a mean-variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy under a spectrally negative Lévy insurance model when the reinsurance premium is computed according to the expected value premium principle. Furthe…
Investigates optimal insurance and reinsurance strategies with incomplete market information.
problem Optimal investment-reinsurance problem for insurance companies with unknown market risk.
method Converted the original problem into a filtered observation problem, applied stochastic control theory, and used Hamilton-Jacobi-Bellman equations.
result Explicit formulas for value function and optimal strategy provided.
The paper optimizes reinsurance under uncertain dependence among insurers.
problem Designing Pareto-optimal reinsurance contracts in a market with uncertain dependence.
method Robust optimization approach assuming known marginal distributions and unspecified dependence structure.
result Characterization of optimal indemnity schedules under worst-case scenario and derivation of optimal two-parameter layer contracts for independent risks.
In this paper, we study a risk process modeled by a Brownian motion with drift (the diffusion approximation model). The insurance entity can purchase reinsurance to lower its risk and receive cash injections at discrete times to avoid ruin. Proportional reinsurance and excess-of-loss reinsurance are considered. The obj…
We consider an optimal control problem of a property insurance company with proportional reinsurance strategy. The insurance business brings in catastrophe risk, such as earthquake and flood. The catastrophe risk could be partly reduced by reinsurance. The management of the company controls the reinsurance rate and div…
This paper investigates a hybrid stochastic differential reinsurance and investment game between one reinsurer and two insurers, including a stochastic Stackelberg differential subgame and a non-zero-sum stochastic differential subgame. The reinsurer, as the leader of the Stackelberg game, can price reinsurance premium…
Complementing existing results on minimal ruin probabilities, we minimize expected discounted penalty functions (or Gerber-Shiu functions) in a Cramer-Lundberg model by choosing optimal reinsurance. Reinsurance strategies are modelled as time dependant control functions, which leads to a setting from the theory of opti…