Optimal reinsurance design for Pareto optimum: from the perspective of multiple reinsurers
type: Item
instance of: scholarly article
title: Optimal reinsurance design for Pareto optimum: from the perspective of multiple reinsurers
zbMATH Open document ID: 1400.91253
DOI: 10.1155/2016/1957016
author: Xing Rong
author: Yunzhou Zhu
published in: Mathematical Problems in Engineering
publication date: 2018-10-12T00:00:00Z
review text: Summary: This paper investigates optimal reinsurance strategies for an insurer which cedes the insured risk to multiple reinsurers. Assume that the insurer and every reinsurer apply the coherent risk measures. Then, we find out the necessary and sufficient conditions for the reinsurance market to achieve Pareto optimum; that is, every ceded-loss function and the retention function are in the form of ``multiple layers reinsurance''.
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6952870
Wikidata QID: Q59131074
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2016/1957016
OpenAlex ID: W2525926905
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description: scientific article; zbMATH DE number 6952870