Centro de Documentacion de Fundación MAPFRE - A Neyman-Pearson perspective on optimal reinsurance with constraints

MAP20170019817

A Neyman-Pearson perspective on optimal reinsurance with constraints / Ambrose Lo

Sumario: The formulation of optimal reinsurance policies that take various practical constraints into account is a problem commonly encountered by practitioners. In the context of a distortion-risk-measure-based optimal reinsurance model without moral hazard, this article introduces and employs a variation of the NeymanPearson Lemma in statistical hypothesis testing theory to solve a wide class of constrained optimal reinsurance problems analytically and expeditiously. Such a NeymanPearson approach identifies the unit-valued derivative of each ceded loss function as the test function of an appropriate hypothesis test and transforms the problem of designing optimal reinsurance contracts to one that resembles the search of optimal test functions achieved by the classical NeymanPearson Lemma. As an illustration of the versatility and superiority of the proposed NeymanPearson formulation, we provide complete and transparent solutions of several specific constrained optimal reinsurance problems, many of which were only partially solved in the literature by substantially more difficult means and under extraneous technical assumptions. Examples of such problems include the construction of the optimal reinsurance treaties in the presence of premium budget constraints, counterparty risk constraints and the optimal insurerreinsurer symbiotic reinsurance treaty considered recently in Cai et al. (2016)

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/05/2017 Volumen 47 Número 2 - mayo 2017 , p. 467-499

1. Reaseguro . 2. Riesgos . 3. Cálculo actuarial . I. Título.