具有失真风险测度和信息不对称的最优再保险设计

IF 1.7 3区经济学 Q2 ECONOMICS

ASTIN Bulletin Pub Date : 2021-03-29 DOI:10.1017/asb.2021.8

T. Boonen, Yiying Zhang

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引用次数: 2

摘要

摘要研究了信息不对称条件下的最优再保险设计问题。保险人采用扭曲风险测度来量化其风险地位，而再保险人不知道这种扭曲风险测度的功能形式。风险中性再保险人在个体理性和激励相容约束下实现净利润最大化。最优再保险菜单是在一种类型的保险公司比另一种类型的保险公司对每种风险有更大的支付意愿的假设下简洁地推导出来的。在选择风险价值和尾部风险价值作为优先选择时，给出了一些比较分析作为说明。

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OPTIMAL REINSURANCE DESIGN WITH DISTORTION RISK MEASURES AND ASYMMETRIC INFORMATION

ABSTRACT This paper studies a problem of optimal reinsurance design under asymmetric information. The insurer adopts distortion risk measures to quantify his/her risk position, and the reinsurer does not know the functional form of this distortion risk measure. The risk-neutral reinsurer maximizes his/her net profit subject to individual rationality and incentive compatibility constraints. The optimal reinsurance menu is succinctly derived under the assumption that one type of insurer has a larger willingness to pay than the other type of insurer for every risk. Some comparative analyses are given as illustrations when the insurer adopts the value at risk or the tail value at risk as preferences.

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来源期刊

ASTIN Bulletin 数学-数学跨学科应用

CiteScore

3.20

自引率

5.30%

发文量

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.