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

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20130005911</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20130221101052.0</controlfield>
    <controlfield tag="008">130219e20121105esp|||p      |0|||b|spa d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">2</subfield>
    </datafield>
    <datafield tag="100" ind1=" " ind2=" ">
      <subfield code="0">MAPA20090033153</subfield>
      <subfield code="a">Cheung, K.C.</subfield>
    </datafield>
    <datafield tag="245" ind1="1" ind2="0">
      <subfield code="a">Average value-at-risk minimizing reinsurance under wang's premium principle with constraints</subfield>
      <subfield code="c">K.C. Cheung,  F. Liu, S.C.P. Yam</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">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.</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077000420</subfield>
      <subfield code="t">Astin bulletin</subfield>
      <subfield code="d">Belgium : ASTIN and AFIR Sections of the International Actuarial Association</subfield>
      <subfield code="x">0515-0361</subfield>
      <subfield code="g">05/11/2012 Volumen 42 Número 2  - noviembre 2012 </subfield>
    </datafield>
    <datafield tag="856" ind1=" " ind2=" ">
      <subfield code="y">MÁS INFORMACIÓN</subfield>
      <subfield code="u">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</subfield>
    </datafield>
  </record>
</collection>