Optimal Reinsurance Under Distortion Risk Measures and Expected Value Premium Principle for Reinsurer

This paper discusses optimal reinsurance strategy by minimizing insurer＇s risk under one general risk measure： Distortion risk measure. The authors assume that the reinsurance premium is determined by the expected value premium principle and the retained loss of the insurer is an increasing function...

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Bibliographic Details
Published in:Journal of systems science and complexity 2015-02, Vol.28 (1), p.122-143
Main Authors: Zheng, Yanting, Cui, Wei, Yang, Jingping
Format: Article
Language:English
Subjects:
Complex Systems
Control
Mathematics
Mathematics and Statistics
Mathematics of Computing
Operations Research/Decision Theory
Statistics
Systems Theory
保费
保险公司
原理
最优策略
期望值
测度
畸变
风险度量
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Summary:This paper discusses optimal reinsurance strategy by minimizing insurer＇s risk under one general risk measure： Distortion risk measure. The authors assume that the reinsurance premium is determined by the expected value premium principle and the retained loss of the insurer is an increasing function of the initial loss. An explicit solution of the insurer＇s optimal reinsurance problem is obtained. The optimal strategies for some special distortion risk measures, such as value-at-risk （VaR） and tail value-at-risk （TVaR） are also investigated.
ISSN:1009-6124
1559-7067
DOI:10.1007/s11424-014-2095-z