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• W2564456188 abstract "We investigate reinsurance contract problems in a continuous-time principal-agent framework, where the reinsurer (principal) is concerned about potential model ambiguity in the claims process, but the insurer (agent) trusts the claims process, or vice versa. The reinsurer designs a robust reinsurance contract that maximizes his exponential utility of terminal wealth under the worst-case distribution, subject to the insurer’s incentive constraint. Optimal reinsurance contracts are explicitly derived in different ambiguity situations. We first show that the reinsurer’s robustness preference makes him become more conservative, which induces him to raise the reinsurance price, which then decreases the demand for reinsurance. However, the insurer’s robustness preference increases both the reinsurance price and the demand. Furthermore, the reinsurer continuously adjusts the reinsurance price, leading the insurer to always purchase a constant proportion of reinsurance, no matter who faces ambiguity, or whether a..." @default.
• W2564456188 created "2017-01-06" @default.
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• W2564456188 date "2016-12-30" @default.
• W2564456188 modified "2023-10-17" @default.
• W2564456188 title "Robust reinsurance contracts in continuous time" @default.
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• W2564456188 doi "https://doi.org/10.1080/03461238.2016.1274270" @default.
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