In this paper, we revisit the study of an optimal risk management strategy for an insurer who wants to maximize the expected utility by purchasing reinsurance and managing reinsurance counterparty risk with a default-free hedging instrument, where the reinsurance premium is calculated by the expected value principle and the price of the hedging instrument equals the expected payoff plus a proportional loading. Different to previous studies, we exclude ex post moral hazard by imposing the no-sabotage condition on reinsurance contracts and derive the optimal strategy analytically. We find that the stop-loss reinsurance is always optimal, but the form of the optimal hedging payoff depends on the cost difference between reinsurance and hedging instrument. We further show that full risk transfer is optimal if and only if both reinsurance pricing and the hedging price are fair. Finally, numerical analyses are conducted to illustrate the effects of some interesting factors on the optimal risk management strategy.

在本文中，我们重新审视了保险公司的最优风险管理策略的研究，该保险公司希望通过购买再保险并使用无违约对冲工具管理再保险交易对手风险来最大化预期效用，其中再保险保费由预期值计算原则上，对冲工具的价格等于预期收益加上比例负载。与以往的研究不同，我们通过对再保险合同施加不可破坏条件来排除事后道德风险，并通过分析得出最优策略。我们发现，止损再保险总是最优的，但最优对冲收益的形式取决于再保险和对冲工具之间的成本差异。我们进一步表明，当且仅当再保险定价和对冲价格都是公平的时，完全风险转移才是最优的。最后，进行数值分析来说明一些有趣的因素对最优风险管理策略的影响。