SIAM Journal on Financial Mathematics, Volume 11, Issue 3, Page 788-814, January 2020.
Reinsurance counterparty credit risk (RCCR) is the risk of a loss arising from the fact that a reinsurance company is unable to fulfill her contractual obligations toward the ceding insurer. RCCR is an important risk category for insurance companies which, so far, has been addressed mostly via qualitative approaches. In this paper we therefore study value adjustments and dynamic hedging for RCCR. We propose a novel model that accounts for contagion effects between the default of the reinsurer and the price of the reinsurance contract. We characterize the value adjustment in a reinsurance contract via a partial integro-differential equation and derive the hedging strategies using a quadratic method. The paper closes with a simulation study which shows that dynamic hedging strategies have the potential to significantly reduce RCCR.

中文翻译：

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再保险交易对手风险的价值调整和动态对冲

SIAM金融数学杂志，第11卷，第3期，第788-814页，2020年1月。
再保险交易对手信用风险（RCCR）是由于再保险公司无法履行其对分出保险人的合同义务而产生损失的风险。RCCR对于保险公司来说是重要的风险类别，到目前为止，大多数已通过定性方法加以解决。因此，在本文中，我们研究了RCCR的价值调整和动态对冲。我们提出了一种新颖的模型，该模型考虑了再保险人违约和再保险合同价格之间的传染效应。我们通过一个偏微分方程描述再保险合同中的价值调整特征，并使用二次方法得出对冲策略。本文以仿真研究作为结尾，该研究表明动态套期保值策略具有显着降低RCCR的潜力。