Optimal reinsurance under VaR and CTE risk measures

DOI10.1016/j.insmatheco.2008.05.011zbMath1140.91417OpenAlexW2067009897MaRDI QIDQ938052

Ken Seng Tan, Yi Zhang, Jun Cai, Chengguo Weng

Publication date: 18 August 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.05.011

zbMATH Keywords

value-at-risk (VaR)expectation premium principlequota-share reinsuranceconditional tail expectation (CTE)stop-loss reinsuranceceded losschange-loss reinsuranceincreasing convex functionretained loss

Mathematics Subject Classification ID

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Uses Software

• QRM

Cites Work

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• An extension of Arrow's result on optimality of a stop loss contract
• Coherent Measures of Risk
• Conditional tail expectations for multivariate phase-type distributions
• Mean-Variance Optimal Reinsurance Arrangements
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Optimal reinsurance under mean-variance premium principles

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