Reinsurance arrangements minimizing the risk-adjusted value of an insurer's liability

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<dc:creator>Chi, Yichun</dc:creator>
<dc:date>2012-11-05</dc:date>
<dc:description xml:lang="es">Sumario: In this paper, we investigate the problem of purchasing a reinsurance policy that minimizes the risk-adjusted value of an insurers liability, where the valuation is carried out using a cost-of-capital approach. In order to exclude the moral hazard, we assume that both the insurer and reinsurer are obligated to pay more for larger loss in a typical reinsurance treaty. Moreover, the reinsurance premium principle is assumed to satisfy three axioms: law invariance, risk loading and preserving convex order. The proposed class of premium principles is quite general in the sense that it contains all the widely used premium principles except Esscher principle listed in Young (2004). When capital at risk is measured by the value at risk (VaR) or conditional value at risk (CVaR), we find it is optimal for the insurer to cede two separate layers over the prescribed premium principles. By imposing an additional weak constraint on the premium principle, we further get that the reinsurance in the form of a layer is optimal. Finally, to illustrate the applicability of our results, we derive explicitly the optimal one-layer reinsurance for expected value principle and Wangs premium principle, and show that two-layer reinsurance may be optimal for Dutch premium principle.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/141736.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Reinsurance arrangements minimizing the risk-adjusted value of an insurer's liability</dc:title>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 05/11/2012 Volumen 42 Número 2  - noviembre 2012 </dc:relation>
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