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Risks 2018, 6(4), 114; https://doi.org/10.3390/risks6040114

On the Optimal Risk Sharing in Reinsurance with Random Recovery Rate

1,* and 2
1
School of Science, Tianjin University of Commerce, Tianjin 300134, China
2
Department of Mathematical Sciences, Stevens Institute of Technology, Hoboken, NJ 07030, USA
*
Author to whom correspondence should be addressed.
Received: 30 August 2018 / Revised: 1 October 2018 / Accepted: 5 October 2018 / Published: 9 October 2018
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Abstract

This paper studies a Pareto-optimal reinsurance contract in the presence of negative statistical dependence between the insurance claim and the random recovery rate. In the context of symmetric information model and asymmetric information model, we investigate properties of the Pareto-optimal indemnity schedules. For risk neutral reinsurer with proportional cost and associated expense, we present possible forms of the Pareto-optimal indemnity schedule as well. View Full-Text
Keywords: Pareto-optimal; recovery rate; indemnity schedule; stochastically decreasing Pareto-optimal; recovery rate; indemnity schedule; stochastically decreasing
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Li, C.; Li, X. On the Optimal Risk Sharing in Reinsurance with Random Recovery Rate. Risks 2018, 6, 114.

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