ABSTRACT In light of the richness of their structures in connection with practical implementation, we follow the seminal works in economics to use the principal–agent (multidimensional screening) models to study a monopolistic reinsurance market with adverse selection; instead of adopting the classical expected utility paradigm, the novelty of our present work is to model the risk assessment of each insurer (agent) by his value-at-risk at his own chosen risk tolerance level consistent with Solvency II. Under information asymmetry, the reinsurer (principal) aims to maximize his average profit by designing an optimal policy provision (menu) of ‘shirt-fit’ reinsurance contracts for every insurer from one of the two groups with hidden characteristics. Our results show that a quota-share component, on the top of simple stop-loss, is very crucial for mitigating asymmetric information from the insurers to the reinsurer.

中文翻译：

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逆向选择再保险合同设计

摘要 鉴于其结构的丰富性与实际实施的联系，我们遵循经济学中的开创性工作，使用委托代理（多维筛选）模型来研究具有逆向选择的垄断再保险市场；我们目前的工作不是采用经典的预期效用范式，而是根据每个保险公司（代理人）在他自己选择的与偿付能力 II 一致的风险承受能力水平上的风险价值对风险评估进行建模。在信息不对称的情况下，再保险公司（委托人）旨在通过为具有隐藏特征的两组之一中的每个保险公司设计“衬衫合身”再保险合同的最佳保单条款（菜单）来最大化其平均利润。我们的结果表明，在简单止损之上的配额份额组件，