Empirical approach for optimal reinsurance design

<?xml version="1.0" encoding="UTF-8"?><modsCollection xmlns="http://www.loc.gov/mods/v3" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-8.xsd">
<mods version="3.8">
<titleInfo>
<title>Empirical approach for optimal reinsurance design</title>
</titleInfo>
<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080119546">
<namePart>Weng, Chengguo</namePart>
<nameIdentifier>MAPA20080119546</nameIdentifier>
</name>
<typeOfResource>text</typeOfResource>
<genre authority="marcgt">periodical</genre>
<originInfo>
<place>
<placeTerm type="code" authority="marccountry">esp</placeTerm>
</place>
<dateIssued encoding="marc">2014</dateIssued>
<issuance>serial</issuance>
</originInfo>
<language>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</language>
<physicalDescription>
<form authority="marcform">print</form>
</physicalDescription>
<abstract displayLabel="Summary">This article proposes a novel and practical approach of addressing optimal reinsurance via an empirical approach. This method formulates reinsurance models using the observed data directly and has advantages including (1) transformation of an infinite dimensional optimization problem to a finite dimension, (2) no required explicit distributional assumption on the underlying risk, and (3) many empirical-based reinsurance models can be solved efficiently using the second-order conic programming. This allows insurers to incorporate many desirable objective functions and constraints while still retaining the ease of obtaining optimal reinsurance strategies. Numerical examples, including applications to actual Danish fire loss data, are provided to highlight the efficiency and the practicality of the proposed empirical models. The stability and consistency of the empirical-based solutions are also analyzed numerically.</abstract>
<note type="statement of responsibility">Ken Seng Tan, Chengguo Weng</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080602437">
<topic>Matemática del seguro</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080611569">
<topic>Minimización de riesgos</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20090025479">
<topic>Distribución de pérdidas</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080589356">
<topic>Cálculo de la prima</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080579258">
<topic>Cálculo actuarial</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080552367">
<topic>Reaseguro</topic>
</subject>
<classification authority="">6</classification>
<relatedItem type="host">
<titleInfo>
<title>North American actuarial journal</title>
</titleInfo>
<originInfo>
<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
</originInfo>
<identifier type="issn">1092-0277</identifier>
<identifier type="local">MAP20077000239</identifier>
<part>
<text>02/06/2014 Tomo 18 Número 2 - 2014 , p. 315-342</text>
</part>
</relatedItem>
<recordInfo>
<recordContentSource authority="marcorg">MAP</recordContentSource>
<recordCreationDate encoding="marc">140716</recordCreationDate>
<recordChangeDate encoding="iso8601">20140731103918.0</recordChangeDate>
<recordIdentifier source="MAP">MAP20140025268</recordIdentifier>
<languageOfCataloging>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</languageOfCataloging>
</recordInfo>
</mods>
</modsCollection>