In this article, we study optimal reinsurance design. By employing the increasing convex functions as the admissible ceded loss functions and the distortion premium principle, we study and obtain the optimal reinsurance treaty by minimizing the VaR (value at risk) of the reinsurer's total risk exposure. When the distortion premium principle is specified to be the expectation premium principle, we also obtain the optimal reinsurance treaty by minimizing the CTE (conditional tail expectation) of the reinsurer's total risk exposure. The present study can be considered as a complement of that of Cai et al.[5].
Tao TAN
,
Tao CHEN
,
Lijun WU
,
Yuhong SHENG
,
Yijun HU
. VAR AND CTE BASED OPTIMAL REINSURANCE FROM A REINSURER'S PERSPECTIVE[J]. Acta mathematica scientia, Series B, 2020
, 40(6)
: 1915
-1927
.
DOI: 10.1007/s10473-020-0619-2
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