Average value-at-risk minimizing reinsurance under wang's premium principle with constraints

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<dc:creator>Cheung, K.C.</dc:creator>
<dc:date>2012-11-05</dc:date>
<dc:description xml:lang="es">Sumario: In 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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/141738.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">Average value-at-risk minimizing reinsurance under wang's premium principle with constraints</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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