Corpus ID: 221949089

Reinsurance of multiple risks with generic dependence structures

@article{Guerra2020ReinsuranceOM,
  title={Reinsurance of multiple risks with generic dependence structures},
  author={M. Guerra and Alexandra B. Moura},
  journal={arXiv: Probability},
  year={2020}
}
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… Expand

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