VAR AND CTE BASED OPTIMAL REINSURANCE FROM A REINSURER'S PERSPECTIVE

doi:10.1007/s10473-020-0619-2

数学物理学报(英文版) ›› 2020, Vol. 40 ›› Issue (6): 1915-1927.doi: 10.1007/s10473-020-0619-2

VAR AND CTE BASED OPTIMAL REINSURANCE FROM A REINSURER'S PERSPECTIVE

谭涛¹, 陈陶¹, 吴黎军¹, 盛玉红¹, 胡亦钧²

1. College of Mathematics and System Science, Xinjiang University, Urumqi, Xinjiang 830046, China;
2. School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China

收稿日期:2019-05-06 修回日期:2020-01-06 出版日期:2020-12-25 发布日期:2020-12-30
通讯作者: Lijun WU,E-mail:xjmath@xju.edu.cn E-mail:xjmath@xju.edu.cn
作者简介:Tao TAN,E-mail:tantao.math@hotmail.com;Tao CHEN,E-mail:chentao_1994@hotmail.com;Yuhong SHENG,E-mail:sheng-yh12@mails.tsinghua.edu.cn;Yijun HU,E-mail:yjhu.math@whu.edu.cn
基金资助:
Supported by the Natural Science Foundation of Xinjiang Province (2018D01C074) and the National Natural Science Foundation of China (11861064, 11771343, 61563050).

VAR AND CTE BASED OPTIMAL REINSURANCE FROM A REINSURER'S PERSPECTIVE

Tao TAN¹, Tao CHEN¹, Lijun WU¹, Yuhong SHENG¹, Yijun HU²

1. College of Mathematics and System Science, Xinjiang University, Urumqi, Xinjiang 830046, China;
2. School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China

Received:2019-05-06 Revised:2020-01-06 Online:2020-12-25 Published:2020-12-30
Contact: Lijun WU,E-mail:xjmath@xju.edu.cn E-mail:xjmath@xju.edu.cn
Supported by:
Supported by the Natural Science Foundation of Xinjiang Province (2018D01C074) and the National Natural Science Foundation of China (11861064, 11771343, 61563050).

摘要/Abstract

摘要： In this article, we study optimal reinsurance design. By employing the increasing convex functions as the admissible ceded loss functions and the distortion premium principle, we study and obtain the optimal reinsurance treaty by minimizing the VaR (value at risk) of the reinsurer's total risk exposure. When the distortion premium principle is specified to be the expectation premium principle, we also obtain the optimal reinsurance treaty by minimizing the CTE (conditional tail expectation) of the reinsurer's total risk exposure. The present study can be considered as a complement of that of Cai et al.[5].

关键词: optimal reinsurance, value at risk, conditional tail expectation, distortion premium principle, expectation premium principle

Abstract: In this article, we study optimal reinsurance design. By employing the increasing convex functions as the admissible ceded loss functions and the distortion premium principle, we study and obtain the optimal reinsurance treaty by minimizing the VaR (value at risk) of the reinsurer's total risk exposure. When the distortion premium principle is specified to be the expectation premium principle, we also obtain the optimal reinsurance treaty by minimizing the CTE (conditional tail expectation) of the reinsurer's total risk exposure. The present study can be considered as a complement of that of Cai et al.[5].

Key words: optimal reinsurance, value at risk, conditional tail expectation, distortion premium principle, expectation premium principle

中图分类号:

91B30

谭涛, 陈陶, 吴黎军, 盛玉红, 胡亦钧. VAR AND CTE BASED OPTIMAL REINSURANCE FROM A REINSURER'S PERSPECTIVE[J]. 数学物理学报(英文版), 2020, 40(6): 1915-1927.

Tao TAN, Tao CHEN, Lijun WU, Yuhong SHENG, Yijun HU. VAR AND CTE BASED OPTIMAL REINSURANCE FROM A REINSURER'S PERSPECTIVE[J]. Acta mathematica scientia,Series B, 2020, 40(6): 1915-1927.

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VAR AND CTE BASED OPTIMAL REINSURANCE FROM A REINSURER'S PERSPECTIVE

VAR AND CTE BASED OPTIMAL REINSURANCE FROM A REINSURER'S PERSPECTIVE

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