Optimal Reinsurance Under General Law-Invariant Convex Risk Measure and TVaR Premium Principle

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Optimal Reinsurance Under General Law-Invariant Convex Risk Measure and TVaR Premium Principle

Mi Chen 1, Wenyuan Wang 2,4 and Ruixing Ming 3,* 1 School of Mathematics and Computer Science & FJKLMAA, Fujian Normal University, Fuzhou 350108, China; [email protected] 2 School of Mathematical Sciences, Xiamen University, Xiamen 361005, Fujian, China; [email protected] 3 School of Statistics and Mathematics, ZheJiang GongShang University, Hangzhou 310018, China 4 School of Applied Mathemat...

متن کامل

Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles

Recently the optimal reinsurance strategy concerning the insurer’s risk attitude and the reinsurance premium principle is an interesting topic. This paper discusses the optimal reinsurance problem with the insurer’s risk measured by distortion risk measure and the reinsurance premium calculated by a general principle including expected premium principle and Wang’s premium principle as its speci...

متن کامل

Optimal reinsurance under mean-variance premium principles

We derive optimal reinsurance under premium principles based on the mean and variance of the reinsurer’s share of the total claim amount. Both global reinsurance and local reinsurance are studied. Examples considered include standard deviation principle and variance principle. © 2001 Elsevier Science B.V. All rights reserved. MSC: Primary 90A46; Secondary 62P05

متن کامل

Optimal dynamic reinsurance with dependent risks: variance premium principle

In this paper, we consider the optimal proportional reinsurance strategy in a risk model with two dependent classes of insurance business, where the two claim number processes are correlated through a common shock component. Under the criterion of maximizing the expected exponential utility with the variance premium principle, we adopt a nonstandard approach to examining the existence and uniqu...

متن کامل

Optimal Reinsurance under Expected Value Principle

The paper concerns the problem how to purchase the reinsurance in order to make the insurer and the reinsurance company’s total risk to be least under the expected value principle. When the insurer and reinsurance company take arbitrary risk measures, sufficient conditions for optimality of reinsurance contract are given within the restricted class of admissible contracts. Further, the explicit...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Risks

سال: 2016

ISSN: 2227-9091

DOI: 10.3390/risks4040050