کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076599 1477216 2014 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal reinsurance with premium constraint under distortion risk measures
ترجمه فارسی عنوان
بیمه پس انداز بهینه با محدودیت حق بیمه تحت اقدامات ریسک اعوجاج
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
Recently distortion risk measure has been an interesting tool for the insurer to reflect its attitude toward risk when forming the optimal reinsurance strategy. Under the distortion risk measure, this paper discusses the reinsurance design with unbinding premium constraint and the ceded loss function in a general feasible region which requiring the retained loss function to be increasing and left-continuous. Explicit solution of the optimal reinsurance strategy is obtained by introducing a premium-adjustment function. Our result has the form of layer reinsurance with the mixture of normal reinsurance strategies in each layer. Finally, to illustrate the applicability of our results, we derive the optimal reinsurance solutions with premium constraint under two special distortion risk measures-VaR and TVaR.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 59, November 2014, Pages 109-120
نویسندگان
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