Optimal reinsurance with multiple tranches

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• 作者：Semyon Malamud^a ; ^{semyon.malamud@epfl.ch" class="auth_mail" title="E-mail the corresponding author} ; Huaxia Rui^b ; ^{huaxia.rui@simon.rochester.edu" class="auth_mail" title="E-mail the corresponding author} ; Andrew Whinston^c ; ^{abw@uts.cc.utexas.edu" class="auth_mail" title="E-mail the corresponding author}
• 关键词：Risk sharing ; Insurance ; Reinsurance ; Contract design
• 刊名：Journal of Mathematical Economics
• 出版年：2016
• 出版时间：August 2016
• 年：2016
• 卷：65
• 期：Complete
• 页码：71-82
• 全文大小：691 K

文摘

Motivated by common practices in the reinsurance industry and in insurance markets such as Lloyd’s, we study the general problem of optimal insurance contracts design in the presence of multiple insurance providers. We show that the optimal risk allocation rule is characterized by a hierarchical structure of risk sharing where all agents take on risks only above the endogenously determined thresholds, or agent-specific deductibles. Linear risk sharing between two adjacent thresholds is shown to be optimal when all agents have CARA utilities. Furthermore, we show that the optimal thresholds can be efficiently calculated through the fixed point of a contraction mapping.