Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit

DOI10.1016/J.INSMATHECO.2016.03.001zbMATH Open1369.91091OpenAlexW2299833805MaRDI QIDQ320272FDOQ320272

Authors ZhiYi Lu, LiLi Meng, Yujin Wang, Qingjie Shen 

Publication date 6 October 2016

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2016.03.001

zbMATH Keywords

value-at-risk (VaR)optimal reinsuranceexpectation premium principlerisk limittail value-at-risk (TVaR)two-layer reinsurance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites Work

• Insurer's optimal reinsurance strategies
• On convex principles of premium calculation
• Optimal Reinsurance Revisited – A Geometric Approach
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Optimal insurance in the presence of insurer's loss limit
• Optimal insurance under Wang's premium principle.
• Optimal insurance under the insurer's risk constraint
• Optimal reinsurance for variance related premium calculation principles
• Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
• Optimal reinsurance under VaR and CTE risk measures
• Optimal reinsurance under VaR and CVaR risk measures a simplified approach
• Optimal reinsurance under convex principles of premium calculation
• Optimal reinsurance under general law-invariant risk measures
• Optimal reinsurance under general risk measures
• Optimal reinsurance under mean-variance premium principles
• Optimal reinsurance with general risk measures
• Optimal reinsurance with limited ceded risk: a stochastic dominance approach
• Optimality of general reinsurance contracts under CTE risk measure
• Risk Measures and Comonotonicity: A Review
• Some Results on Optimal Reinsurance in Terms of the Adjustment Coefficient
• Unifying framework for optimal insurance

Cited In (8)

• Optimal reinsurance arrangements in the presence of two reinsurers
• Multi-constrained optimal reinsurance model from the duality perspectives
• A Neyman-Pearson perspective on optimal reinsurance with constraints
• VaR and CTE based optimal reinsurance from a reinsurer's perspective
• Optimal reinsurance with default risk: a reinsurer's perspective
• Optimal reinsurance under VaR and CVaR risk measures a simplified approach
• A two-layer stochastic game approach to reinsurance contracting and competition
• Optimal reinsurance policy under a new distortion risk measure

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