We study the problem of structuring excess-of-loss catastrophe-reinsurance contracts to minimize the total reinsurance premium paid by primary insurers. Specifically, for a fixed retention level and upper coverage limit, we seek the optimal layering of coverage, both in terms of the number of layers and their respective widths.
Bingzheng Chen; Michael R. Powers; Xintong Sun Optimal Layering of Catastrophe-Reinsurance Contracts (2008年11月06日) https://www.cfrn.com.cn/lw/12183.html