On the optimal management of counterparty risk in reinsurance contracts
从风险厌恶的直保公司角度，研究了存在对手风险时最优再保险覆盖结构，推导了成本准则并展示了如何最优组合对冲与分散策略。
We use a normative analysis and consider the optimal reinsurance coverage structure in the presence of counterparty risk. From the perspective of a risk-averse primary insurer, we derive a cost criterion that indicates the optimality of under-, over- and full hedging of the reinsurers’ counterparty risk and show how the hedging preference can define a vertical layering of the reinsurance coverage. We also determine the optimal diversification strategies between two reinsurers that differ in their counterparty risk. Our results provide evidence that the coverage is allocated either to a single reinsurer or to both in the form of a vertical (quota share) and horizontal (excess-of-loss) allocation. Finally, we demonstrate how to optimally combine hedging and diversification.