Optimal reinsurance with general risk measures

被引：93

作者：

Balbas, Alejandro ^{[2
]}

Balbas, Beatriz ^{[2
]}

Heras, Antonio ^{[1
]}

机构：

[1] Univ Complutense Madrid, Madrid 28223, Spain

[2] Univ Carlos III Madrid, Dept Business Econ, Madrid 28903, Spain

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2009年 / 44卷 / 03期

关键词：

Optimal reinsurance; Risk measure and deviation measure; Optimality conditions; STOCHASTIC-DOMINANCE; CONVEX PRINCIPLES; OPTIMIZATION; INSURANCE; MODELS;

D O I：

10.1016/j.insmatheco.2008.11.008

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper Studies the optimal reinsurance problem when risk is measured by a general risk measure. Necessary and sufficient optimality conditions are given for a wide family of risk measures, including deviation measures, expectation bounded risk measures and coherent measures of risk. The optimality conditions are used to verify whether the classical reinsurance contracts (quota-share, stop-loss) are optimal essentially, regardless of the risk measure used. The paper ends by particularizing the findings, so as to study in detail two deviation measures and the conditional value at risk. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：374 / 384

页数：11

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