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Dynamic reinsurance via martingale transport

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Listed:
  • Beatrice Acciaio
  • Brandon Garcia Flores
  • Antonio Marini
  • Gudmund Pammer

Abstract

We formulate a dynamic reinsurance problem in which the insurer seeks to control the terminal distribution of its surplus while minimizing the L2-norm of the ceded risk. Using techniques from martingale optimal transport, we show that, under suitable assumptions, the problem admits a tractable solution analogous to the Bass martingale. We first consider the case where the insurer wants to match a given terminal distribution of the surplus process, and then relax this condition by only requiring certain moment or risk-based constraints.

Suggested Citation

  • Beatrice Acciaio & Brandon Garcia Flores & Antonio Marini & Gudmund Pammer, 2026. "Dynamic reinsurance via martingale transport," Papers 2601.10375, arXiv.org.
    • Handle: RePEc:arx:papers:2601.10375
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    References listed on IDEAS

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    1. B. Acciaio & M. Beiglböck & F. Penkner & W. Schachermayer, 2016. "A Model-Free Version Of The Fundamental Theorem Of Asset Pricing And The Super-Replication Theorem," Mathematical Finance, Wiley Blackwell, vol. 26(2), pages 233-251, April.
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