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Risk-minimizing reinsurance protection for multivariate risks

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<title>Risk-minimizing reinsurance protection for multivariate risks</title>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20110031916">
<namePart>Sung, K.C.J.</namePart>
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<namePart>Yam, S. C. P.</namePart>
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<abstract displayLabel="Summary">In this article, we study the problem of optimal reinsurance policy for multivariate risks whose quantitative analysis in the realm of general law-invariant convex risk measures, to the best of our knowledge, is still absent in the literature. In reality, it is often difficult to determine the actual dependence structure of these risks. Instead of assuming any particular dependence structure, we propose the minimax optimal reinsurance decision formulation in which the worst case scenario is first identified, then we proceed to establish that the stop-loss reinsurances are optimal in the sense that they minimize a general law-invariant convex risk measure of the total retained risk. By using minimax theorem, explicit form of and sufficient condition for ordering the optimal deductibles are also obtained.</abstract>
<note type="statement of responsibility">K. C. Cheung, K. C. J. Sung, S. C. P. Yam</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080552367">
<topic>Reaseguro</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080591182">
<topic>Gerencia de riesgos</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080588953">
<topic>Análisis de riesgos</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080604721">
<topic>Análisis multivariante</topic>
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<title>The Journal of risk and insurance</title>
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<publisher>Nueva York : The American Risk and Insurance Association, 1964-</publisher>
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<identifier type="issn">0022-4367</identifier>
<identifier type="local">MAP20077000727</identifier>
<part>
<text>03/03/2014 Volumen 81 Número 1 - marzo 2014 , p. 219-236</text>
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