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Optimal reinsurance revisited - A geometric approach
Recurso electrónico / electronic resource
Section: Articles
Title: Optimal reinsurance revisited - A geometric approach / Ka Chun CheungAuthor: Chun Cheung, Ka ‌
Notes: Sumario: In this paper, we reexamine the two optimal reinsurance problems studied in Cai et al. (2008), in which the objectives are to find the optimal reinsurance contracts that minimize the value-at-risk (VaR) and the conditional tail expectation (CTE) of the total risk exposure under the expectation premium principle. We provide a simpler and more transparent approach to solve these problems by using intuitive geometric arguments. The usefulness of this approach is further demonstrated by solving the VaR-minimization problem when the expectation premium principle is replaced by Wang's premium principle.
Related records: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 03/05/2010 Volumen 40 Número 1 - mayo 2010 , p. 221-239Other categories: 6
Rights: In Copyright (InC)
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