再保险
精算学
计量经济学
业务
数学
计算机科学
数学优化
作者
Emma Kroell,Sebastian Jaimungal,Silvana M. Pesenti
标识
DOI:10.1080/03461238.2024.2431539
摘要
We study a reinsurer who faces multiple sources of model uncertainty. The reinsurer offers contracts to n insurers whose claims follow compound Poisson processes representing both idiosyncratic and systemic sources of loss. As the reinsurer is uncertain about the insurers' claim severity distributions and frequencies, they design reinsurance contracts that maximise their expected wealth subject to an entropy penalty. Insurers meanwhile seek to maximise their expected utility without ambiguity. We solve this continuous-time Stackelberg game for general reinsurance contracts and find that the reinsurer prices under a distortion of the barycentre of the insurers' models. We apply our results to proportional reinsurance and excess-of-loss reinsurance contracts, and illustrate the solutions numerically. Furthermore, we solve the related problem where the reinsurer maximises, still under ambiguity, their expected utility and compare the solutions.
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