# Dynamic reinsurance via martingale transport

arXiv: https://arxiv.org/abs/2601.10375 · HTML: https://mlsanity.com/paper/2601.10375/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 15 Jan 2026.

## Built on by (most cited first, 1 of 1)

- [Martingale Neural Operators: Learning Stochastic Marginals via Doob-Meyer Factorization](https://mlsanity.com/paper/2605.15806/) (2026)

## Abstract (arXiv)

We formulate a dynamic reinsurance problem in which the insurer seeks to satisfy prescribed terminal moment or risk-based constraints while minimizing the L2-norm of the ceded risk. As a tool for this analysis, we first use techniques from martingale optimal transport to study the auxiliary problem in which the insurer matches a given terminal distribution of the surplus process. We show that, under suitable assumptions, this auxiliary problem admits a tractable solution analogous to the Bass martingale. We then relax this condition by only requiring certain moment or risk-based constraints.