{
  "id": "2009.12274",
  "version": "v1",
  "published": "2020-09-25T14:43:12.000Z",
  "updated": "2020-09-25T14:43:12.000Z",
  "title": "Reinsurance of multiple risks with generic dependence structures",
  "authors": [
    "Manuel Guerra",
    "Alexandra B. Moura"
  ],
  "categories": [
    "math.PR",
    "q-fin.RM"
  ],
  "abstract": "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. A specific form of the optimality conditions applies in that case. We illustrate the results with some numerical examples.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2020-09-25T14:43:12.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "generic dependence structures",
      "multiple risks",
      "optimality conditions applies",
      "optimal reinsurance problem",
      "maximal expected utility criterion"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}