Optimal Reinsurance with Heterogeneous Reference Probabilities
نویسندگان
چکیده
Abstract: This paper studies the problem of optimal reinsurance contract design. We let the insurer use dual utility, and the premium is an extendedWang’s premium principle. The novel contribution is that we allow for heterogeneity in the beliefs regarding the underlying probability distribution. We characterize layer-reinsurance as an optimal reinsurance contract. Moreover, we characterize layer-reinsurance as optimal contracts when the insurer faces costs of holding regulatory capital. We illustrate this in cases where both firms use the Value-at-Risk or the conditional Value-at-Risk.
منابع مشابه
On Cramér-Lundberg approximations for ruin probabilities under optimal excess of loss reinsurance
We consider a classical risk model with the possibility of reinsurance. The insurer follows the optimal strategy. In this paper we find the Cramér-Lundberg approximation in the case of excess of loss reinsurance. We prove that the optimal strategy converges to the asymptotically optimal strategy as the capital increases to infinity. This extends the results of [5] and [3]. 2000 Mathematical Sub...
متن کاملAsymptotics of ruin probabilities for risk processes under optimal reinsurance poli- cies: the small claim case
We consider a classical risk model with the possibility of reinsurance. Moreover, in one of the models also investment into a risky asset is possible. The insurer follows the optimal strategy. In this paper we find the Cramér-Lundberg approximation in the small claim case and prove that the optimal strategy converges to the asymptotically optimal strategy as the capital increases to infinity. 1...
متن کاملDynamic Proportional Reinsurance and Approximations for Ruin Probabilities in the Two-Dimensional Compound Poisson Risk Model
We consider the dynamic proportional reinsurance in a two-dimensional compound Poisson risk model. The optimization in the sense of minimizing the ruin probability which is defined by the sum of subportfolio is being ruined. Via the Hamilton-Jacobi-Bellman approach we find a candidate for the optimal value function and prove the verification theorem. In addition, we obtain the Lundberg bounds a...
متن کاملOptimal 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 کاملOn Optimal Reinsurance Policy with Distortion Risk Measures and Premiums
In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk measure and the premium is given by a distortion risk premium. First, we show how the optimal reinsurance design for the ceding company, the reinsurance company and the social planner can be formulated in the same way. Second, by introducing the “marginal indemnification function...
متن کامل