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
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