Optimal reinsurance under endogenous default and background risk

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<title>Optimal reinsurance under endogenous default and background risk</title>
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<namePart>Liang, Zongxia</namePart>
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<namePart>Ren, Zhaojie</namePart>
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<namePart>Zou, Bin</namePart>
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<abstract displayLabel="Summary">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</abstract>
<note type="statement of responsibility">Zongxia Liang, Zhaojie Ren and Bin Zou</note>
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<topic>Reaseguro</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080590468">
<topic>Economía del seguro</topic>
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<topic>Cálculo actuarial</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080572396">
<topic>Indemnizaciones</topic>
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<topic>Insolvencia</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>20/04/2026 Volumen 56 Número 2 - abril 2026 , 26 p.</text>
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