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On the Optimal Risk Sharing in Reinsurance with Random Recovery Rate

Author

Listed:
  • Chen Li

    (School of Science, Tianjin University of Commerce, Tianjin 300134, China)

  • Xiaohu Li

    (Department of Mathematical Sciences, Stevens Institute of Technology, Hoboken, NJ 07030, USA)

Abstract

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.

Suggested Citation

  • Chen Li & Xiaohu Li, 2018. "On the Optimal Risk Sharing in Reinsurance with Random Recovery Rate," Risks, MDPI, vol. 6(4), pages 1-16, October.
    • Handle: RePEc:gam:jrisks:v:6:y:2018:i:4:p:114-:d:174388
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    References listed on IDEAS

    as
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