| LDR | | | 00000cab a2200000 4500 |
| 001 | | | MAP20130005911 |
| 003 | | | MAP |
| 005 | | | 20130221101052.0 |
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| 040 | | | $aMAP$bspa$dMAP |
| 084 | | | $a2 |
| 100 | | | $0MAPA20090033153$aCheung, K.C. |
| 245 | 1 | 0 | $aAverage value-at-risk minimizing reinsurance under wang's premium principle with constraints$cK.C. Cheung, F. Liu, S.C.P. Yam |
| 520 | | | $aIn the present work, we study the optimal reinsurance decision problem in which the Average Value-at-Risk of the retained loss is minimized under Wangs premium principle and is also subject to either (1) a budget constraint on reinsurance premium, or (2) a reinsurers probabilistic benchmark constraint of his potential loss. We show that the optimal reinsurance is a single-insurance layer under Constraint (1), and a cap insurance or a double-insurance layer under Constraint (2); moreover, under Constraint (2), we further establish that under most common circumstances (see Remark after Theorem 3), a cap insurance will suffice to be optimal. Finally, some numerical illustrations will be provided. |
| 773 | 0 | | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g05/11/2012 Volumen 42 Número 2 - noviembre 2012 |
| 856 | | | $yMÁS INFORMACIÓN$umailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A |
