Optimal reinsurance under distortion risk measures and expected value premium principle for reinsurer

被引：10
|
作者：
Zheng Yanting [1 ]
Cui Wei [2 ]
Yang Jingping [3 ,4 ]
机构：
[1] Beijing Technol & Business Univ, Dept Finance, Beijing 100037, Peoples R China
[2] Peking Univ, Dept Financial Math, Beijing 100871, Peoples R China
[3] Peking Univ, Sch Math Sci, Dept Financial Math, Beijing 100871, Peoples R China
[4] Peking Univ, Ctr Stat Sci, Beijing 100871, Peoples R China
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：
10.1007/s11424-014-2095-z
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
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
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