کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076964 | 1374110 | 2011 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimality of general reinsurance contracts under CTE risk measure
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
By formulating a constrained optimization model, we address the problem of optimal reinsurance design using the criterion of minimizing the conditional tail expectation (CTE) risk measure of the insurer's total risk. For completeness, we analyze the optimal reinsurance model under both binding and unbinding reinsurance premium constraints. By resorting to the Lagrangian approach based on the concept of directional derivative, explicit and analytical optimal solutions are obtained in each case under some mild conditions. We show that pure stop-loss ceded loss function is always optimal. More interestingly, we demonstrate that ceded loss functions, that are not always non-decreasing, could be optimal. We also show that, in some cases, it is optimal to exhaust the entire reinsurance premium budget to determine the optimal reinsurance, while in other cases, it is rational to spend less than the prescribed reinsurance premium budget.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 49, Issue 2, September 2011, Pages 175-187
Journal: Insurance: Mathematics and Economics - Volume 49, Issue 2, September 2011, Pages 175-187
نویسندگان
Ken Seng Tan, Chengguo Weng, Yi Zhang,