Captive insurance companies and the management of non-conventional corporate risks

Abstract

We examine under what conditions setting up a captive insurance company with reinsurance is an optimal solution for risk-averse firms when the insured firm, the insurer and the reinsurer do not know the probability distribution of some risks, and have conflicting estimates of this distribution.corporate insurance, reinsurance, uncertainty, ambiguity, non-conventional risks, captive insurance companies, Risk and Uncertainty, D81, G22, Q2,