TY  - JOUR
AU  - Ma, Haonan
AU  - Fang, Ying
PY  - 2025
TI  - Pareto-optimal reinsurance design in a duopoly market with asymmetric information
JO  - AIMS Mathematics
SP  - 18494
EP  - 18523
VL  - 10
IS  - 8
AB  - This work studied the optimal reinsurance design in a duopolistic market comprising two types of insurers and two reinsurers under asymmetric information, where reinsurers cannot directly observe insurers' risk types. We modeled reinsurers as risk-neutral agents maximizing expected net profit, subject to individual rationality, incentive compatibility, and convex preference constraints. We introduced the principle of Pareto optimality to formulate the objective function in a multi-agent setting. Applying the Lagrange dual approach, we derived optimal reinsurance menus for all cases. Under the Value-at-Risk (VaR) risk measure, we identified the globally optimal reinsurance menu by comparative analysis and provided its closed-form solution. Furthermore, we compared exponential and Pareto distributions with identical expected losses to study tail risk effects.
UR  - https://doi.org/10.3934/math.2025826
DO  - 10.3934/math.2025826