Abstract
The problem of Bowley reinsurance with asymmetric information was recently introduced by Boonen et al. [Scandinavian Actuarial Journal 2021, 623-644] and Boonen and Zhang [Scandinavian Actuarial Journal 2022, 532-551]. Bowley reinsurance with asymmetric information means that the insurer and reinsurer are both presented with distortion risk measures but there is asymmetric information on the distortion risk measure of the insurer. Motivated by these two papers, we study Bowley reinsurance with asymmetric information under the reinsurer's default risk in this paper. We call this solution the <i>Bowley solution under default risk</i>. We provide Bowley solutions under default risk in closed form under general assumptions. Finally, some numerical examples are presented to illustrate our main conclusions.
Publisher
Journal of University of Science and Technology of China
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