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q-fin.RM2025
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.RM2025
Risk-minimizing reinsurance with adverse selection
Ka Chun Cheung, Sheung Chi Phillip Yam, Fei Lung Yuen +1
This paper provides a comprehensive characterization of optimal reinsurance mechanisms under adverse selection when a monopolistic reinsurer faces a continuum of insurers with mult…