Bowley reinsurance with asymmetric information under reinsurer’s default risk

Bowley reinsurance with asymmetric information means that the insurer and reinsurer are both presented with distortion risk measures but there is asymmetric information on the distortion risk measure of the insurer. Motivated by predecessors research, we study Bowley reinsurance with asymmetric information under the reinsurer’s default risk. We call this solution the Bowley solution under default risk. We provide Bowley solutions under default risk in a closed form under general assumptions. Finally, some numerical examples are provided to illustrate our main conclusions.