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

<?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>Reinsurance arrangements minimizing the risk-adjusted value of an insurer's liability</title>
</titleInfo>
<typeOfResource>text</typeOfResource>
<genre authority="marcgt">periodical</genre>
<originInfo>
<place>
<placeTerm type="code" authority="marccountry">esp</placeTerm>
</place>
<dateIssued encoding="marc">2012</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">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.</abstract>
<note type="statement of responsibility">Yichun Chi</note>
<classification authority="">2</classification>
<location>
<url displayLabel="MÁS INFORMACIÓN" usage="primary display">mailto: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</url>
</location>
<relatedItem type="host">
<titleInfo>
<title>Astin bulletin</title>
</titleInfo>
<originInfo>
<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
</originInfo>
<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
<part>
<text>05/11/2012 Volumen 42 Número 2  - noviembre 2012 </text>
</part>
</relatedItem>
<recordInfo>
<recordContentSource authority="marcorg">MAP</recordContentSource>
<recordCreationDate encoding="marc">130219</recordCreationDate>
<recordChangeDate encoding="iso8601">20130221101053.0</recordChangeDate>
<recordIdentifier source="MAP">MAP20130005898</recordIdentifier>
<languageOfCataloging>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</languageOfCataloging>
</recordInfo>
</mods>
</modsCollection>