VaR and CTE Based Optimal Reinsurance from a Reinsurer’s Perspective
VaR and CTE Based Optimal Reinsurance from a Reinsurer’s Perspective
复制标题
DOI：
10.1007/s10473-020-0619-2
复制
发表时间：
2020-11
影响因子：
1
通讯作者：
Tao Tan;Tao Chen;Lijun Wu;Y. Sheng;Yijun Hu
中科院分区：
文献类型：
--
作者：
Tao Tan;Tao Chen;Lijun Wu;Y. Sheng;Yijun Hu
本文主要研究最优再保险设计问题。利用渐增凸函数作为容许损失函数，利用失真保费原理，研究了使再保险人的总风险暴露值（VaR）最小的最优再保险协议。当将扭曲保费原则指定为期望保费原则时，我们还通过最小化再保险人总风险敞口的条件尾部期望（CTE）来获得最优再保险协议。本研究可以看作是对Cai等人研究的补充。
In this article, we study optimal reinsurance design. By employing the increasing convex functions as the admissible ceded loss functions and the distortion premium principle, we study and obtain the optimal reinsurance treaty by minimizing the VaR (value at risk) of the reinsurer’s total risk exposure. When the distortion premium principle is specified to be the expectation premium principle, we also obtain the optimal reinsurance treaty by minimizing the CTE (conditional tail expectation) of the reinsurer’s total risk exposure. The present study can be considered as a complement of that of Cai et al. [5].