MAP20130005911
Average value-at-risk minimizing reinsurance under wang's premium principle with constraints / K.C. Cheung, F. Liu, S.C.P. Yam
Sumario: 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
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