Dynamic reinsurance via martingale transport
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arXiv
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| Main Authors: | , , , |
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| Format: | Preprint |
| Published: |
2026
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| _version_ | 1866909991456210944 |
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| author | Acciaio, Beatrice Flores, Brandon Garcia Marini, Antonio Pammer, Gudmund |
| author_facet | Acciaio, Beatrice Flores, Brandon Garcia Marini, Antonio Pammer, Gudmund |
| contents | We formulate a dynamic reinsurance problem in which the insurer seeks to control the terminal distribution of its surplus while minimizing the L2-norm of the ceded risk. Using techniques from martingale optimal transport, we show that, under suitable assumptions, the problem admits a tractable solution analogous to the Bass martingale. We first consider the case where the insurer wants to match a given terminal distribution of the surplus process, and then relax this condition by only requiring certain moment or risk-based constraints. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2601_10375 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Dynamic reinsurance via martingale transport Acciaio, Beatrice Flores, Brandon Garcia Marini, Antonio Pammer, Gudmund Risk Management Optimization and Control Probability 91G05, 49Q22, 60G44 We formulate a dynamic reinsurance problem in which the insurer seeks to control the terminal distribution of its surplus while minimizing the L2-norm of the ceded risk. Using techniques from martingale optimal transport, we show that, under suitable assumptions, the problem admits a tractable solution analogous to the Bass martingale. We first consider the case where the insurer wants to match a given terminal distribution of the surplus process, and then relax this condition by only requiring certain moment or risk-based constraints. |
| title | Dynamic reinsurance via martingale transport |
| topic | Risk Management Optimization and Control Probability 91G05, 49Q22, 60G44 |
| url | https://arxiv.org/abs/2601.10375 |