Guerra, M.Moura, A.B. de2020-12-112020-12-112020-12Guerra, M. e A.B. de Moura (2020). "Reinsurance of multiple risks with generic dependence structures". Instituto Superior de Economia e Gestão – REM Working paper nº 0149 – 20202184-108Xhttp://hdl.handle.net/10400.5/20637We consider the optimal reinsurance problem from the point of view of a direct insurer owning several dependent risks, assuming a maximal expected utility criterion and independent negotiation of reinsurance for each risk. Without any particular hypothesis on the dependency structure, we show that optimal treaties exist in a class of independent randomized contracts. We derive optimality conditions and show that under mild assumptions the optimal contracts are of classical (non-randomized) type. A specific form of the optimality conditions applies in that case. We illustrate the results with some numerical examples.engReinsuranceDependent RisksPremium Calculation PrinciplesExpected UtilityRandomized reinsurance treatiesworking paper