On the Optimal Risk Sharing in Reinsurance with Random Recovery Rate

被引：5

作者：

Li, Chen ^{[1
]}

Li, Xiaohu ^{[2
]}

机构：

[1] Tianjin Univ Commerce, Sch Sci, Tianjin 300134, Peoples R China

[2] Stevens Inst Technol, Dept Math Sci, Hoboken, NJ 07030 USA

来源：

RISKS | 2018年 / 6卷 / 04期

关键词：

Pareto-optimal; recovery rate; indemnity schedule; stochastically decreasing;

D O I：

10.3390/risks6040114

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper studies a Pareto-optimal reinsurance contract in the presence of negative statistical dependence between the insurance claim and the random recovery rate. In the context of symmetric information model and asymmetric information model, we investigate properties of the Pareto-optimal indemnity schedules. For risk neutral reinsurer with proportional cost and associated expense, we present possible forms of the Pareto-optimal indemnity schedule as well.

引用

页数：16

共 50 条

[1] Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
Mastrogiacomo, Elisa
Gianin, Emanuela Rosazza
MATHEMATICS AND FINANCIAL ECONOMICS, 2015, 9 (02) : 149 - 167
[2] Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
Elisa Mastrogiacomo
Emanuela Rosazza Gianin
Mathematics and Financial Economics, 2015, 9 : 149 - 167
[3] Stochastic Pareto-optimal reinsurance policies
Zeng, Xudong
Luo, Shangzhen
INSURANCE MATHEMATICS & ECONOMICS, 2013, 53 (03) : 671 - 677
[4] Optimal dynamic risk sharing under the time-consistent mean-variance criterion
Chen, Lv
Landriault, David
Li, Bin
Li, Danping
MATHEMATICAL FINANCE, 2021, 31 (02) : 649 - 682
[5] The effect of unfunded pension liabilities on corporate bond ratings, default risk, and recovery rate
Wang F.A.
Zhang T.
Review of Quantitative Finance and Accounting, 2014, 43 (4) : 781 - 802
[6] The framework of systemic risk related to contagion, recovery rate and capital requirement in an interbank network
Ren, Xuemin
Yuan, George X.
Jiang, Lishang
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2014, 1 (01)
[7] PERSONAL BANKRUPTCIES AND THEIR RECOVERY RATE
Kubalek, Jan
PROCEEDINGS OF THE 8TH INTERNATIONAL CONFERENCE INNOVATION MANAGEMENT, ENTREPRENEURSHIP AND SUSTAINABILITY (IMES 2020), 2020, : 283 - 293
[8] Dependence of Default Probability and Recovery Rate in Structural Credit Risk Models: Case of Greek Banks
Abdelkader Derbali
Lamia Jamel
Journal of the Knowledge Economy, 2019, 10 : 711 - 733
[9] Dependence of Default Probability and Recovery Rate in Structural Credit Risk Models: Case of Greek Banks
Derbali, Abdelkader
Jamel, Lamia
JOURNAL OF THE KNOWLEDGE ECONOMY, 2019, 10 (02) : 711 - 733
[10] The recovery rate of early stuttering
Einarsdottir, Johanna T.
Crowe, Kathryn
Kristinsson, Sigfus Helgi
Masdottir, Thora
JOURNAL OF FLUENCY DISORDERS, 2020, 64

← 1 2 3 4 5 →