Optimal reinsurance policy under a new distortion risk measure

被引：2
|
作者：
Zhu, Dan [1 ]
Yin, Chuancun [1 ]
机构：
[1] Qufu Normal Univ, Sch Stat, Qufu 273165, Shandong, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2023年 / 52卷 / 12期
基金：
中国国家自然科学基金;
关键词：
Distortion risk measure; VaR; GlueVaR; optimal reinsurance; COMONOTONICITY;
D O I：
10.1080/03610926.2021.1986538
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Distortion risk measures play an essential role in the fields of finance and risk management. In this paper, we present a new distortion risk measure with mixed methods. We then investigate the optimal reinsurance problem under the new risk measure and the closed-form solutions of optimal reinsurance policies are obtained. As special cases of the new distortion risk measure, VaR and GlueVaR are considered in the application of risk management.
引用
收藏
页码：4151 / 4164
页数：14
相关论文
共 50 条
  • [1] Revisit optimal reinsurance under a new distortion risk measure
    Xia, Zichao
    Xia, Wanwan
    Zou, Zhenfeng
    [J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2024, 53 (15) : 5657 - 5672
  • [2] 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
  • [3] On optimal reinsurance policy with distortion risk measures and premiums
    Assa, Hirbod
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2015, 61 : 70 - 75
  • [4] Optimal reinsurance under the Haezendonck risk measure
    Zhu, Yunzhou
    Zhang, Lixin
    Zhang, Yi
    [J]. STATISTICS & PROBABILITY LETTERS, 2013, 83 (04) : 1111 - 1116
  • [5] Optimal reinsurance with premium constraint under distortion risk measures
    Zheng, Yanting
    Cui, Wei
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2014, 59 : 109 - 120
  • [6] On Pareto-optimal reinsurance with constraints under distortion risk measures
    Jiang W.
    Hong H.
    Ren J.
    [J]. European Actuarial Journal, 2018, 8 (1) : 215 - 243
  • [7] Optimal reinsurance design under the VaR risk measure and asymmetric information
    Yuan, Yuchen
    Fang, Ying
    [J]. MATHEMATICAL MODELLING AND CONTROL, 2022, 2 (04): : 165 - 175
  • [8] 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
  • [9] 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
  • [10] 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
12345