OPTIMAL REINSURANCE WITH DEFAULT RISK: A REINSURER'S PERSPECTIVE

摘要

In this paper, we study the optimal reinsurance design with defaultrisk by minimizing the VaR (value at risk) of the reinsurer's total risk exposure.The optimal reinsurance treaty is provided. When the reinsurance premiumprinciple is specied to the expected value and exponential premium princi-ples, the explicit expressions for the optimal reinsurance treaties are given,respectively.