کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076097 | 1477198 | 2017 | 31 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Pareto-optimal reinsurance arrangements under general model settings
ترجمه فارسی عنوان
ترتیبات بازنشستگی پارتو بهینه تحت تنظیمات کلی مدل
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
In this paper, we study Pareto optimality of reinsurance arrangements under general model settings. We give the necessary and sufficient conditions for a reinsurance contract to be Pareto-optimal and characterize all Pareto-optimal reinsurance contracts under more general model assumptions. We also obtain the sufficient conditions that guarantee the existence of the Pareto-optimal reinsurance contracts. When the losses of an insurer and a reinsurer are both measured by the Tail-Value-at-Risk (TVaR) risk measures, we obtain the explicit forms of the Pareto-optimal reinsurance contracts under the expected value premium principle. For the purpose of practice, we use numerical examples to show how to determine the mutually acceptable Pareto-optimal reinsurance contracts among the available Pareto-optimal reinsurance contracts such that both the insurer's aim and the reinsurer's goal can be met under the mutually acceptable Pareto-optimal reinsurance contracts.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 77, November 2017, Pages 24-37
Journal: Insurance: Mathematics and Economics - Volume 77, November 2017, Pages 24-37
نویسندگان
Jun Cai, Haiyan Liu, Ruodu Wang,