从承保人和再保险人的角度分析了风险度量和价值条件下的最优再保险

IF 1.7 3区 经济学 Q2 ECONOMICS
ASTIN Bulletin Pub Date : 2021-04-12 DOI:10.1017/asb.2021.9
Yanhong Chen
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引用次数: 7

摘要

摘要本文研究了一类让渡损失函数上,使承保人损失和再保险人损失的条件风险价值(CVaR)的凸组合最小且让渡损失函数满足Vajda条件的最优再保险契约。在一类满足风险负荷和凸序保持性质的再保险费率原则中,得到了其最优解。研究结果表明,一般再保险保费原则的最优割让损失函数为5个相互关联的分段,如果在再保险保费原则中加入更多的财产,则可进一步简化为4个相互关联的分段。最后,推导出期望值保费原则的最优参数,并通过数值研究分析了权重因子对最优再保险的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
OPTIMAL REINSURANCE FROM THE VIEWPOINTS OF BOTH AN INSURER AND A REINSURER UNDER THE CVAR RISK MEASURE AND VAJDA CONDITION
ABSTRACT 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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来源期刊
ASTIN Bulletin
ASTIN Bulletin 数学-数学跨学科应用
CiteScore
3.20
自引率
5.30%
发文量
24
审稿时长
>12 weeks
期刊介绍: ASTIN Bulletin publishes papers that are relevant to any branch of actuarial science and insurance mathematics. Its papers are quantitative and scientific in nature, and draw on theory and methods developed in any branch of the mathematical sciences including actuarial mathematics, statistics, probability, financial mathematics and econometrics.
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