Multiple per-claim reinsurance based on maximizing the Lundberg exponent
The paper deals with the optimal per-claim reinsurance problem, when the insurer is involved in a reinsurance contract with multiple reinsurance participants. The risk measure for the insurer over a long-term horizon is provided by the Lundberg exponent. After explaining the risk model and the multiple risk control optimization problem, the study focuses on the optimal form of multiple reinsurance strategy; the maximized Lundberg exponent for a general setting is derived. Then, the optimal reinsurance strategy is explored in some special settings, that are special cases of the general setting. In these cases, certain classical results are recognized. Finally, a sensitivity analysis for the optimal reinsurance strategy and the optimal Lundberg exponent is shown.
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