Abstract
Reinsurance is the insurance of insurance companies. We develop a dynamic equilibrium model for reinsurance pricing based on the supply and demand of reinsurance. In the model, an insurance company and a reinsurance company make decisions on the optimal reinsurance policy as a demander and a supplier of reinsurance, respectively. The reinsurance price is determined when the demand matches the supply. We incorporate the proportional reinsurance policy as well as investment opportunities into the framework. The high flexibility of this equilibrium pricing model paves a new way for studies of optimal reinsurance and reinsurance pricing.
| Original language | English |
|---|---|
| Article number | 110280 |
| Journal | Statistics and Probability Letters |
| Volume | 216 |
| Early online date | 1 Oct 2024 |
| DOIs | |
| Publication status | Published - Jan 2025 |
Funding
Jiang Cheng acknowledges the financial support of Lingnan University, HKSAR. Chao Deng was supported by National Natural Science Foundation of China (11801099, 12171103). Shuyan Liu acknowledges the financial support of Shanghai Pujiang Program (21PJC051) and National Natural Science Foundation of China (72101140, 72073089). Xudong Zeng was supported by the MOE Project of Key Research Institute of Humanities and Social Sciences at Universities (22JJD790089).
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 8 Decent Work and Economic Growth -
SDG 9 Industry, Innovation, and Infrastructure
Keywords
- Dynamic programming
- Equilibrium model
- Optimal reinsurance
- Reinsurance pricing
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