@article{Ma2025, 
author = {Haonan Ma and Ying Fang},
title = {Pareto-optimal reinsurance design in a duopoly market with asymmetric information},
year = {2025},
journal = {AIMS Mathematics},
volume = {10},
number = {8},
pages = {18494-18523},
keywords = {Pareto-optimal reinsurance, asymmetric information, duopolistic market, distortion risk measures, individual rationality, incentive compatibility, convex preference},
url = {https://www.sciopen.com/article/10.3934/math.2025826},
doi = {10.3934/math.2025826},
abstract = {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.}
}