Optimal Reinsurance Under Distortion Risk Measures and Expected Value Premium Principle for Reinsurer

被引：0
|
作者：
ZHENG Yanting [1 ]
CUI Wei [2 ]
YANG Jingping [3 ]
机构：
[1] Department of Finance,Beijing Technology and Business University
[2] Department of Financial Mathematics,Peking University
[3] Department of Financial Mathematics,School of Mathematical Sciences and Center of Statistical Science,Peking University
来源：
Journal of Systems Science & Complexity | 2015年 / 28卷 / 01期
基金：
中国国家自然科学基金;
关键词：
Distortion risk measure; expected value premium principle; optimal reinsurance strategy; TVaR; VaR;
D O I：
暂无
中图分类号：
F840 [保险理论];
学科分类号：
020204 ; 120404 ;
摘要：
This paper discusses optimal reinsurance strategy by minimizing insurer’s risk under one general risk measure:Distortion risk measure.The authors assume that the reinsurance premium is determined by the expected value premium principle and the retained loss of the insurer is an increasing function of the initial loss.An explicit solution of the insurer’s optimal reinsurance problem is obtained.The optimal strategies for some special distortion risk measures,such as value-at-risk(VaR) and tail value-at-risk(TVaR),are also investigated.
引用
收藏
页码：122 / 143
页数：22
相关论文
共 50 条
  • [1] Optimal reinsurance under distortion risk measures and expected value premium principle for reinsurer
    Zheng Yanting
    Cui Wei
    Yang Jingping
    [J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2015, 28 (01) : 122 - 143
  • [2] Optimal reinsurance under distortion risk measures and expected value premium principle for reinsurer
    Yanting Zheng
    Wei Cui
    Jingping Yang
    [J]. Journal of Systems Science and Complexity, 2015, 28 : 122 - 143
  • [3] Reinsurer's optimal reinsurance strategy with upper and lower premium constraints under distortion risk measures
    Wang, Wenyuan
    Peng, Xingchun
    [J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2017, 315 : 142 - 160
  • [4] Optimal reinsurance with premium constraint under distortion risk measures
    Zheng, Yanting
    Cui, Wei
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2014, 59 : 109 - 120
  • [5] OPTIMAL REINSURANCE UNDER EXPECTED VALUE PRINCIPLE
    Cao Yusong Zhang Yi College of Computer Science & Technology
    [J]. Applied Mathematics:A Journal of Chinese Universities, 2006, (04) : 454 - 460
  • [6] Optimal reinsurance under expected value principle
    Cao Y.
    Zhang Y.
    [J]. Applied Mathematics-A Journal of Chinese Universities, 2006, 21 (4) : 454 - 460
  • [7] Optimal Reinsurance Strategy for an Insurer and a Reinsurer with Generalized Variance Premium Principle
    Li, Danping
    Shen, Chaohai
    [J]. MATHEMATICAL PROBLEMS IN ENGINEERING, 2020, 2020
  • [8] Optimal reinsurance contracts under the reinsurer's risk constraint with VaR risk measures
    Jingga, E.
    Novita, M.
    Nurrohmah, S.
    [J]. INTERNATIONAL CONFERENCE ON MATHEMATICS: PURE, APPLIED AND COMPUTATION, 2019, 1218
  • [9] Optimal reinsurance for both an insurer and a reinsurer under general premium principles
    Fang, Ying
    Cheng, Guo
    Qu, Zhongfeng
    [J]. AIMS MATHEMATICS, 2020, 5 (04): : 3231 - 3255
  • [10] Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
    Cui, Wei
    Yang, Jingping
    Wu, Lan
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2013, 53 (01): : 74 - 85
12345