Structured reinsurance deals with reference to relative market performance
研究一种结构化再保险交易，其赔付方案取决于分出公司的损失率与市场平均损失率的比较，发现当覆盖一群损失正相关的保险公司时，能有效管理财务困境成本，并用数值例子展示绩效改进。
In this paper we study a specific type of structured reinsurance deals, for which the indemnification scheme is contingent upon the performance of the cedent, for instance measured in terms of his loss ratio compared to the average loss ratio of the market. We show that this type of deals may be efficiently used to manage risk in the presence of financial distress cost when the cover is provided to a cohort of insurers with positively correlated loss experience. In addition to theoretical results we quantitatively illustrate the potential performance improvement in a numerical example.