Optimal reinsurance under risk and uncertainty on Orlicz hearts

被引：4
|
作者：
Kong, Dezhou [1 ,2 ]
Liu, Lishan [2 ,3 ]
Wu, Yonghong [3 ]
机构：
[1] Shandong Agr Univ, Coll Informat Sci & Engn, Tai An 271018, Shandong, Peoples R China
[2] Qufu Normal Univ, Sch Math Sci, Qufu 273165, Shandong, Peoples R China
[3] Curtin Univ, Dept Math & Stat, Perth, WA 6845, Australia
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2018年 / 81卷
基金：
中国国家自然科学基金; 中国博士后科学基金;
关键词：
Risk and uncertainty; Orlicz heart; Robust representation; Optimal reinsurance problem; Dual approach; PREMIUM PRINCIPLES;
D O I：
10.1016/j.insmatheco.2017.10.006
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In the paper, we study two classes of optimal reinsurance problems on Orlicz hearts in which both the insurer and reinsurer face risk and uncertainty. Based on Balbas et al. (2015) and Rockafellar and Royset (2015b), we first establish the robust representations for the mixed CVaR relative to the set of priors P-U(0). Then we introduce the general reinsurance premium principle and the general optimal reinsurance problems, which include most of the existing problems as special cases. The necessary and sufficient optimality conditions of the optimal reinsurance problems are obtained by different dual approaches under more general assumptions. (C) 2017 Elsevier B.V. All rights reserved.
引用
收藏
页码：108 / 116
页数：9
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