2 papers
q-fin.RM2026
Compensation-based risk-sharing
Jan Dhaene, Atibhav Chaudhry, Ka Chun Cheung +1
This paper studies the mathematical problem of allocating payouts (compensations) in an endowment contingency fund using a risk-sharing rule that satisfies full allocation. Besides…
q-fin.RM2026
Optimal design of reinsurance contracts with a continuum of risk assessments
Ka Chun Cheung, Sheung Chi Phillip Yam, Fei Lung Yuen +1
In this article, we employ a principal-agent model to analyze optimal contract design in a monopolistic reinsurance market under adverse selection with a continuum of insurer types…