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Optimal reinsurance revisited - A geometric approach

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      <subfield code="a">Chun Cheung, Ka</subfield>
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      <subfield code="a">Optimal reinsurance revisited - A geometric approach</subfield>
      <subfield code="c">Ka Chun Cheung</subfield>
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      <subfield code="a">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.
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      <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">03/05/2010 Volumen 40 Número 1 - mayo 2010 , p. 221-239</subfield>
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