Abstract
ABSTRACTThis paper studies a problem of optimal reinsurance design under asymmetric information. The insurer adopts distortion risk measures to quantify his/her risk position, and the reinsurer does not know the functional form of this distortion risk measure. The risk-neutral reinsurer maximizes his/her net profit subject to individual rationality and incentive compatibility constraints. The optimal reinsurance menu is succinctly derived under the assumption that one type of insurer has a larger willingness to pay than the other type of insurer for every risk. Some comparative analyses are given as illustrations when the insurer adopts the value at risk or the tail value at risk as preferences.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Reference32 articles.
1. Optimal reinsurance and stop-loss order;Denuit;Insurance: Mathematics and Economics,1998
2. The Dual Theory of Choice under Risk
3. Reducing risk by merging counter-monotonic risks;Cheung;Insurance: Mathematics and Economics,2014
4. Pareto efficient insurance contracts when the insurer's cost function is discontinuous
5. Axiomatic characterization of insurance prices;Wang;Insurance: Mathematics and Economics,1997
Cited by
2 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献