Optimal Reinsurance Under VaR and CTE Risk Measures When Ceded Loss Function is Concave

DOI10.1080/03610926.2012.716136zbMath1297.91091OpenAlexW2074220525MaRDI QIDQ2921869

LiLi Meng, ZhiYi Lu, Leping Liu, Qingjie Shen

Publication date: 14 October 2014

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.716136

zbMATH Keywords

value-at-riskoptimal reinsuranceconditional tail expectationquota-share reinsuranceincreasing concave functionfull reinsurance

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (4)

VaR and CTE based optimal reinsurance from a reinsurer's perspective ⋮ Optimal reinsurance with default risk: a reinsurer's perspective ⋮ Optimal robust insurance with a finite uncertainty set ⋮ Optimal non-life reinsurance under Solvency II regime

Cites Work

• Unnamed Item
• Optimality of general reinsurance contracts under CTE risk measure
• Optimal insurance in the presence of insurer's loss limit
• Unifying framework for optimal insurance
• Optimal reinsurance under VaR and CTE risk measures
• On a double-inequality of Schlömilch-Lemonnier
• An extension of Arrow's result on optimality of a stop loss contract
• Optimal Reinsurance Revisited – A Geometric Approach
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Optimal reinsurance under mean-variance premium principles

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