To better reflect the insurance practice, we assume that the insurer can reduce her insurance risk by purchasing per-loss reinsurance; the reinsurer can engage in insurance business. During the design of reinsurance contract, the insurer determines the claim risk sharing strategy and the reinsurer ...
Time-consistent per-loss reinsurance and investment strategies in correlated markets with smooth ambiguity Fudong Wang, Zhibin Liang, Kam Chuen Yuen & Caibin Zhang Received 26 Jun 2024, Accepted 12 Jan 2025, Published online: 30 Jan 2025 Cite this article https://doi.org/10.1080/00207179.2025...
In this paper, we consider the optimal reinsurance problem for a risk model with a thinning-dependence structure, where the stochastic sources related to claim occurrence are classified into different groups, and each group may cause a claim in each insu
Kevin J. O’Donnell, President and Chief Executive Officer ofRenaissanceRe, commented: “We begin 2021 looking forward and fully focused on executing our strategy into an attractive reinsurance market. The book of business that we wrote at theJanuary 1renewal is larger and more ef...
Time-consistent per-loss reinsurance and investment strategies in correlated markets with smooth ambiguityFudong WangView further author informationZhibin Liangliangzhibin111@hotmail.comView further author informationKam Chuen YuenView further author information...