2 résultats pour « reinsurance/insurance »

Arbitrage‑free catastrophe reinsurance valuation for compound dynamic contagion claims

Date : Tags : , , , ,
The insurance sector faces pressure from rising catastrophic risks, leading to higher premiums and policy non-renewals. This paper proposes an arbitrage-free method for pricing catastrophe reinsurance using the compound dynamic contagion process and Esscher transform. The findings help insurers assess liabilities amid emerging risks like climate change, cyberattacks, and pandemics.
Lire la suite

Dynamic reinsurance design with heterogeneous beliefs under the mean‑variance framework

Date : Tags : ,
This paper explores continuous-time mean-variance reinsurance with heterogeneous beliefs, a novel approach. It finds complex optimal contracts, beyond standard types, and proves their uniqueness. Specific forms emerge under different belief assumptions. Critically, it shows this model better reflects real-world insurer decisions than models ignoring belief differences.
Lire la suite