کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076456 1477208 2016 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Marginal Indemnification Function formulation for optimal reinsurance
ترجمه فارسی عنوان
فرمول بندی تضمین های حاشیه ای برای بیمه مجدد بهینه
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
In this paper, we propose to combine the Marginal Indemnification Function (MIF) formulation and the Lagrangian dual method to solve optimal reinsurance model with distortion risk measure and distortion reinsurance premium principle. The MIF method exploits the absolute continuity of admissible indemnification functions and formulates optimal reinsurance model into a functional linear programming of determining an optimal measurable function valued over a bounded interval. The MIF method was recently introduced to analyze the reinsurance model but without premium budget constraint. In this paper, a Lagrangian dual method is applied to combine with MIF to solve for optimal reinsurance solutions under premium budget constraint. Compared with the existing literature, the proposed integrated MIF-based Lagrangian dual method provides a more technically convenient and transparent solution to the optimal reinsurance design. To demonstrate the practicality of the proposed method, analytical solution is derived on a particular reinsurance model that involves minimizing Conditional Value at Risk (a special case of distortion function) and with the reinsurance premium being determined by the inverse-S shaped distortion principle.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 67, March 2016, Pages 65-76
نویسندگان
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