Optimal reinsurance under endogenous default and background risk

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      <subfield code="a">This article analyzes the optimal design of reinsurance contracts when the reinsurer is exposed to endogenous default risk and background risk. The model considers a utility-maximizing insurer and a reinsurer with stochastic reserves, explicitly incorporating the possibility of partial default. Analytical solutions are obtained for reinsurance contracts that depend on both the loss and the background risk, showing that the optimal contract takes the form of a deductible reinsurance with a policy limit. The paper also examines loss-dependent contracts only, which are characterized as multilayer reinsurance structures. The study provides novel insights into the joint impact of default risk and background risk on reinsurance demand</subfield>
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      <subfield code="g">20/04/2026 Volumen 56 Número 2 - abril 2026 , 26 p.</subfield>
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