Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures

Article ID	Journal	Published Year	Pages	File Type
5076668	Insurance: Mathematics and Economics	2013	6 Pages	PDF

Abstract

âº We study the optimal reinsurance problem under VaR and CTE optimization criteria. âº The ceded loss function is confined to the class of increasing concave functions. âº The quota-share reinsurance with a policy limit is optimal under VaR risk measure. âº The full reinsurance with a policy limit is optimal under CTE risk measure.

Keywords

62P05 60E15 Conditional Tail Expectation (CTE)Expectation premium principle Value-at-Risk (VaR)Optimal reinsurance