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Mathematical Problems in Engineering
Volume 2016, Article ID 1957016, 10 pages
Research Article

Optimal Reinsurance Design for Pareto Optimum: From the Perspective of Multiple Reinsurers

1Southwestern University of Finance and Economics, Chengdu, China
2Department of Actuary, China Continent Property & Casualty Insurance Company Ltd., Shanghai, China

Received 13 May 2016; Revised 25 August 2016; Accepted 30 August 2016

Academic Editor: Laura Gardini

Copyright © 2016 Xing Rong and Yunzhou Zhu. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


This paper investigates optimal reinsurance strategies for an insurer which cedes the insured risk to multiple reinsurers. Assume that the insurer and every reinsurer apply the coherent risk measures. Then, we find out the necessary and sufficient conditions for the reinsurance market to achieve Pareto optimum; that is, every ceded-loss function and the retention function are in the form of “multiple layers reinsurance.”