Optimal reinsurance from an optimal transport perspective

We use the randomization idea and proof techniques from optimal transport to study optimal reinsurance problems. We start by providing conditions for a class of problems that allow us to characterize the support of optimal treaties, and show how this can be used to deduce the shape of the optimal contract, reducing the task to an optimization problem with finitely many constraints, for which standard techniques can be applied. For a more general class of problems, we regard the optimal reinsurance problem as an iterated optimal transport problem between a (known) initial risk exposure of the insurer and an (unknown) resulting risk exposure of the reinsurer. The proposed approach provides a general framework that encompasses many reinsurance problems, which we illustrate in several concrete examples, providing alternative proofs to classical optimal reinsurance results, as well as establishing new optimality results, some of which contain optimal treaties that involve external randomness.

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Publication Details

Journal
Insurance Mathematics and Economics
Published
2025-03-12
DOI
https://doi.org/10.1016/j.insmatheco.2025.03.004
Citations
1
Primary Topic
Risk and Portfolio Optimization
Type
article
Field-Weighted Citation Impact
2.11
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article

Optimal reinsurance from an optimal transport perspective

Brandon García Flores, Beatrice Acciaio, Hansjörg Albrecher
1 citations
Insurance Mathematics and Economics
Risk and Portfolio Optimization
2.11
article

Optimal reinsurance from an optimal transport perspective

Brandon García Flores, Beatrice Acciaio, Hansjörg Albrecher
article en
1 citations

Abstract

We use the randomization idea and proof techniques from optimal transport to study optimal reinsurance problems. We start by providing conditions for a class of problems that allow us to characterize the support of optimal treaties, and show how this can be used to deduce the shape of the optimal contract, reducing the task to an optimization problem with finitely many constraints, for which standard techniques can be applied. For a more general class of problems, we regard the optimal reinsurance problem as an iterated optimal transport problem between a (known) initial risk exposure of the insurer and an (unknown) resulting risk exposure of the reinsurer. The proposed approach provides a general framework that encompasses many reinsurance problems, which we illustrate in several concrete examples, providing alternative proofs to classical optimal reinsurance results, as well as establishing new optimality results, some of which contain optimal treaties that involve external randomness.

Insurance Mathematics and EconomicsVol. 122
ETH Zurich (CH), Swiss Finance Institute (CH), University of Lausanne (CH)
Zero hunger
Openalex Percentile: Top 16%
Risk and Portfolio Optimization
2.11
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Optimal reinsurance from an optimal transport perspective — Brandon García Flores, Beatrice Acciaio, et al. · Insurance Mathematics and Economics (2025) | TGRS Research Map | TGRS