A unifying approach to constrained and unconstrained optimal reinsurance

Huang, Yuxia; Yin, Chuancun

doi:10.1016/j.cam.2019.03.046

Cited by 16 publications

(2 citation statements)

References 32 publications

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“…Lo and Tang (2019) further studied Pareto-optimal reinsurance design under distortion risk measures and gave explicit solutions to Pareto-optimal reinsurance treaty under VaR and CVaR risk measures and the expected value premium principle. For more works about optimal reinsurance from the perspectives of both the insurer and the reinsurer, we refer to Cheung and Wang (2017), Jiang et al (2017Jiang et al ( , 2018, Huang and Yin (2019), Asimit et al (2020), and the references therein.…”

Section: Introductionmentioning

confidence: 99%

Optimal Reinsurance From the Viewpoints of Both an Insurer and a Reinsurer Under the Cvar Risk Measure and Vajda Condition

Chen¹

2021

ASTIN Bull.

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In this paper, we study the optimal reinsurance contracts that minimize the convex combination of the Conditional Value-at-Risk (CVaR) of the insurer’s loss and the reinsurer’s loss over the class of ceded loss functions such that the retained loss function is increasing and the ceded loss function satisfies Vajda condition. Among a general class of reinsurance premium principles that satisfy the properties of risk loading and convex order preserving, the optimal solutions are obtained. Our results show that the optimal ceded loss functions are in the form of five interconnected segments for general reinsurance premium principles, and they can be further simplified to four interconnected segments if more properties are added to reinsurance premium principles. Finally, we derive optimal parameters for the expected value premium principle and give a numerical study to analyze the impact of the weighting factor on the optimal reinsurance.

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Section: Introductionmentioning

confidence: 99%

Optimal Reinsurance From the Viewpoints of Both an Insurer and a Reinsurer Under the Cvar Risk Measure and Vajda Condition

Chen¹

2021

ASTIN Bull.

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“…Lo and Tang [22] characterized the set of Pareto-optimal reinsurance policies analytically and visualized the insurer-reinsurer trade-off structure geometrically. Huang and Yin [23] studied two classes of optimal reinsurance models from perspectives of both insurers and reinsurers by minimizing their convex combination where the risk is measured by a distortion risk measure and the premium is given by a distortion premium principle.…”

Section: Introductionmentioning

confidence: 99%

Pareto-Optimal Reinsurance Revisited: A Two-Stage Optimisation Procedure Approach

Wang¹,

Yu³

2020

Mathematical Problems in Engineering

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In this paper, based on the Tail-Value-at-Risk (TVaR) measure, we revisit the Pareto-optimal reinsurance policies for the insurer and the reinsurer via a two-stage optimisation procedure. To reduce ex-post moral hazard, we assume that reinsurance contracts satisfy the principle of indemnity and the incentive compatible constraint which have been advocated by Huberman et al. (1983). We show that the Pareto-optimal reinsurance policy exists if the reinsurance premiums can be expressed as an integral form. The proposed class of premium principles encompasses the net premium principle, expected value premium principle, TVaR premium principle, generalized percentile premium principle, and so on. We further use the TVaR premium principle and the expected value premium principle as examples to illustrate the two-stage optimisation procedure by deriving explicitly the Pareto-optimal reinsurance policies. We extend the results by Cai et al. (2017) when the expected value premium principle is replaced by the TVaR premium principle.

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A Blockchain-Based Approach to Supporting Reinsurance Contracting

Mendoza-Tello

Calderón-Hinojosa

2020

Advances in Intelligent Systems and Computing

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A unifying approach to constrained and unconstrained optimal reinsurance

Cited by 16 publications

References 32 publications

Optimal Reinsurance From the Viewpoints of Both an Insurer and a Reinsurer Under the Cvar Risk Measure and Vajda Condition

Optimal Reinsurance From the Viewpoints of Both an Insurer and a Reinsurer Under the Cvar Risk Measure and Vajda Condition

Pareto-Optimal Reinsurance Revisited: A Two-Stage Optimisation Procedure Approach

A Blockchain-Based Approach to Supporting Reinsurance Contracting

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