{
  "annotation_id": "f3d293b1-283c-476c-8042-f8c761b13520",
  "date_created": "2026-02-17T05:53:24.229000Z",
  "date_modified": "2026-02-17T05:53:24.229000Z",
  "file_hash": "eeda631b1ae162d17bd434d7d1906c1064774e575f534815d591ef88cd2dd600",
  "private": false,
  "record": {
    "abstract": "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.",
    "arxiv_id": "2601.10375",
    "authors": [
      "Beatrice Acciaio",
      "Brandon Garcia Flores",
      "Antonio Marini",
      "Gudmund Pammer"
    ],
    "categories": [
      "q-fin.RM",
      "math.OC",
      "math.PR"
    ],
    "license": "http://creativecommons.org/licenses/by-nc-nd/4.0/",
    "title": "Dynamic reinsurance via martingale transport",
    "url": "https://arxiv.org/abs/2601.10375",
    "version": "v1"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "762ca87c-fed6-42ea-a89c-cc2ceaff73e8",
    "id": "arXiv Dataset",
    "type": "Model",
    "variant": "snapshot-2026-01-17",
    "version": "0.1.0"
  },
  "user_id": 1000002
}