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Optimal reinsurance design with distortion risk measures and asymmetric information. (English) Zbl 1478.91161

The authors present an optimal reinsurance design under asymmetric information when the risk preferences of the insurer are unknown to the reinsurer. They suggest a framework in which the insurer adopts distortion risk measures and one type of insurer has a larger willingness to pay than the other type of insurer for every risk. The optimal reinsurance contract menu is derived in closed form by maximizing the net profit of the reinsurer under two individual rationality constraints and two incentive compatibility constraints.

MSC:

91G05 Actuarial mathematics
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