2 papers
q-fin.RM2026
Dynamic reinsurance via martingale transport
Beatrice Acciaio, Brandon Garcia Flores, Antonio Marini +1
We formulate a dynamic reinsurance problem in which the insurer seeks to satisfy prescribed terminal moment or risk-based constraints while minimizing the -norm of the ceded r…
math.OC2023
Optimal reinsurance from an optimal transport perspective
Beatrice Acciaio, Hansjörg Albrecher, Brandon García Flores
We use the randomization idea and proof techniques from optimal transport to study optimal reinsurance problems. We start by providing conditions for a class of problems that allow…