Optimal Reinsurance Revisited – Point of View of Cedent and Reinsurer
Optimal Reinsurance Revisited – Point of View of Cedent and Reinsurer
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DOI：
10.2143/ast.41.2.2136988
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发表时间：
2011-11
期刊：
影响因子：
--
通讯作者：
W. Hürlimann
中科院分区：
文献类型：
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作者：
W. Hürlimann
在VaR风险度量下，部分停止损失契约是最优的再保险形式。假设市场保费按期望值原则设定，并考虑不同的负载因子，分别在总自留损失VaR强最小、总自留损失VaR弱最小和再保险人期望利润最大三种不同的再保险准则下，得到了该合同的最优再保险参数。（iii）总保留损失VaR度量的弱最小值和总方差风险度量的最小值。新的融资条件意味着同时分出人和再保险人所需的风险价值经济资本被揭示的情况下，纯风险转移（经典再保险）或风险和利润转移（设计内部再保险或再保险公司的专属自保）。
It is known that the partial stop-loss contract is an optimal reinsurance form under the VaR risk measure. Assuming that market premiums are set according to the expected value principle with varying loading factors, the optimal reinsurance parameters of this contract are obtained under three alternative single and joint party reinsurance criteria: (i) strong minimum of the total retained loss VaR measure; (ii) weak minimum of the total retained loss VaR measure and maximum of the reinsurer's expected profit; (iii) weak minimum of the total retained loss VaR measure and minimum of the total variance risk measure. New conditions for financing in the mean simultaneously the cedent's and the reinsurer's required VaR economic capital are revealed for situations of pure risk transfer (classical reinsurance) or risk and profit transfer (design of internal reinsurance or reinsurance captive owned by the captive of a corporate firm).