Pareto-Optimal Reinsurance Arrangements Under General Model Settings
Pareto-Optimal Reinsurance Arrangements Under General Model Settings
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DOI：
10.2139/ssrn.2887632
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发表时间：
2016-12
期刊：
影响因子：
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通讯作者：
Jun Cai;Haiyan Liu;Ruodu Wang
中科院分区：
文献类型：
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作者：
Jun Cai;Haiyan Liu;Ruodu Wang
本文研究了一般模型下再保险安排的帕累托最优性。在更一般的模型假设下，给出了再保险合同为帕累托最优的充要条件，并刻画了所有帕累托最优再保险合同的特征.我们还得到了保证帕累托最优再保险合同存在的充分条件。当保险人和再保险人的损失都用TVaR风险度量时，在期望值保费原则下，得到了帕累托最优再保险合同的显式表达式.为了实践的目的，我们用数值例子来说明如何确定相互可接受的帕累托最优再保险合同之间的可用帕累托最优再保险合同，使保险人的目标和再保险人的目标都可以满足下相互可接受的帕累托最优再保险合同。
In this paper, we study Pareto optimality of reinsurance arrangements under general model settings. We give the necessary and sufficient conditions for a reinsurance contract to be Pareto-optimal and characterize all Pareto-optimal reinsurance contracts under more general model assumptions. We also obtain the sufficient conditions that guarantee the existence of the Pareto-optimal reinsurance contracts. When the losses of an insurer and a reinsurer are both measured by the Tail-Value-at-Risk (TVaR) risk measures, we obtain the explicit forms of the Pareto-optimal reinsurance contracts under the expected value premium principle. For the purpose of practice, we use numerical examples to show how to determine the mutually acceptable Pareto-optimal reinsurance contracts among the available Pareto-optimal reinsurance contracts such that both the insurer’s aim and the reinsurer’s goal can be met under the mutually acceptable Pareto-optimal reinsurance contracts.