Optimal Reinsurance Revisited – A Geometric Approach
Optimal Reinsurance Revisited – A Geometric Approach
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DOI：
10.2143/ast.40.1.2049226
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发表时间：
2010-05
期刊：
影响因子：
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通讯作者：
K. Cheung
中科院分区：
文献类型：
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作者：
K. Cheung
摘要本文重新研究了Cai等人研究的两个最优再保险问题。(2008)，其中的目标是找到最优的再保险合同，使预期保费原则下总风险敞口的风险价值(VaR)和条件尾部预期(CTE)最小化。通过使用直观的几何论证，我们提供了一种更简单、更透明的方法来解决这些问题。通过用Wang保费原理代替期望保费原理求解VaR最小化问题，进一步证明了该方法的有效性。
Abstract In this paper, we reexamine the two optimal reinsurance problems studied in Cai et al. (2008), in which the objectives are to find the optimal reinsurance contracts that minimize the value-at-risk (VaR) and the conditional tail expectation (CTE) of the total risk exposure under the expectation premium principle. We provide a simpler and more transparent approach to solve these problems by using intuitive geometric arguments. The usefulness of this approach is further demonstrated by solving the VaR-minimization problem when the expectation premium principle is replaced by Wang's premium principle.