VaR and CTE based optimal reinsurance from a reinsurer's perspective

DOI10.1007/S10473-020-0619-2zbMATH Open1499.91100OpenAlexW3092394552MaRDI QIDQ2151981FDOQ2151981

Yanyan Li

Publication date: 5 July 2022

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10473-020-0619-2

Recommendations

• Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures
• Optimal reinsurance under VaR and CTE risk measures when ceded loss function is concave
• Optimal reinsurance under VaR and CTE risk measures
• Optimal reinsurance under variance related premium principles
• Optimal Reinsurance Revisited – A Geometric Approach

zbMATH Keywords

value at riskoptimal reinsuranceexpectation premium principleconditional tail expectationdistortion premium principle

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

Cites Work

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• Optimal Reinsurance Revisited – A Geometric Approach
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Cited In (3)

• The optimal reinsurance strategy under conditional tail expectation (CTE) and Wang's premium principle
• VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
• Optimal reinsurance under VaR and CVaR risk measures a simplified approach

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