{"title":"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","authors":"Yanhong Chen","doi":"10.1017/asb.2021.9","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":8617,"journal":{"name":"ASTIN Bulletin","volume":"55 1","pages":"631 - 659"},"PeriodicalIF":1.7000,"publicationDate":"2021-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"7","resultStr":"{\"title\":\"OPTIMAL REINSURANCE FROM THE VIEWPOINTS OF BOTH AN INSURER AND A REINSURER UNDER THE CVAR RISK MEASURE AND VAJDA CONDITION\",\"authors\":\"Yanhong Chen\",\"doi\":\"10.1017/asb.2021.9\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":8617,\"journal\":{\"name\":\"ASTIN Bulletin\",\"volume\":\"55 1\",\"pages\":\"631 - 659\"},\"PeriodicalIF\":1.7000,\"publicationDate\":\"2021-04-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"7\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ASTIN Bulletin\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1017/asb.2021.9\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ASTIN Bulletin","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1017/asb.2021.9","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
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.
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.