Optimal reinsurance under the general mixture risk measures

被引：2
|
作者：
Cao, Yusong [1 ]
Zhang, Yi
机构：
[1] Xuchang Univ, Coll Comp Sci & Technol, Xuchang 461000, Peoples R China
[2] Zhejiang Univ, Dept Math, Hangzhou 310027, Peoples R China
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2007年 / 185卷 / 01期
关键词：
reinsurance; expected value principle; variance risk measure; Lagrangian function;
D O I：
10.1016/j.amc.2006.06.120
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper concerns the problem of how to purchase the reinsurance in order to make the insurer and the reinsurer's total risk least under the standard deviation principle. Sufficient conditions for optimality of reinsurance contract are given within the restricted class of admissible contracts. Here, the insurer and reinsurance company can take arbitrary risk measures, respectively. Further, we give the explicit forms of optimal reinsurance contract under special risk measures. We also give the method to decide the parameters. (c) 2006 Elsevier Inc. All rights reserved.
引用
收藏
页码：229 / 239
页数：11
相关论文
共 50 条
  • [11] 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
  • [12] Budget-constrained optimal reinsurance design under coherent risk measures
    Cheung, Ka Chun
    Chong, Wing Fung
    Lo, Ambrose
    [J]. SCANDINAVIAN ACTUARIAL JOURNAL, 2019, 2019 (09) : 729 - 751
  • [13] Optimal reinsurance under risk and uncertainty
    Balbas, Alejandro
    Balbas, Beatriz
    Balbas, Raquel
    Heras, Antonio
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2015, 60 : 61 - 74
  • [14] Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit
    Lu, ZhiYi
    Meng, LiLi
    Wang, Yujin
    Shen, Qingjie
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2016, 68 : 92 - 100
  • [15] On optimal reinsurance policy with distortion risk measures and premiums
    Assa, Hirbod
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2015, 61 : 70 - 75
  • [16] Optimal Reinsurance through Minimizing New Risk Measures under Technical Benefit Constraints
    El Attar, Abderrahim
    El Hachloufi, Mostafa
    Guennoun, Zine El Abidine
    [J]. INTERNATIONAL JOURNAL OF ENGINEERING RESEARCH IN AFRICA, 2018, 35 : 24 - 37
  • [17] 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
  • [18] 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
  • [19] 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
  • [20] Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures
    Lu, ZhiYi
    Liu, LePing
    Meng, ShengWang
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2013, 52 (01): : 46 - 51
12345