Reinsurance of multiple risks with generic dependence structures

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 for mof the optimality conditions applies in that case. We present a numerical scheme to solve the optimality conditions.

A mistake on Proposition 3.2 was corrected. A new section on computation of optimal strategies was added. Several additions to the text. Examples were corrected