When is truncated stop loss optimal?

Erik Bølviken, Yinzhi Wang
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Abstract

The paper examines how reinsurance can be used to strike a balance between expected profit and VaR/CVaR risk. Conditions making truncated stop loss contracts optimal are derived, and it is argued that those are usually satisfied in practice. One of the prerequisites is that reinsurance is not too cheap, and an argument resembling arbitrage suggests that it is not.
什么情况下截断止损是最佳选择?
本文探讨了如何利用再保险在预期利润与 VaR/CVaR 风险之间取得平衡。本文推导了截断止损合同的最优条件,并认为这些条件在实践中通常都能得到满足。先决条件之一是再保险不能太便宜,而类似套利的论证表明再保险并不便宜。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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