2020/09/25 by Guerra, Manuel, Moura, Alexandra B.
#FOS: Economics and business #FOS: Mathematics #Probability (math.PR) #Risk Management (q-fin.RM)
paper · doi:10.48550/arxiv.2009.12274
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.