Optimal reinsurance from the viewpoints of both an insurer and a reinsurer under the cvar risk measure and vajda condition

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<title>Optimal reinsurance from the viewpoints of both an insurer and a reinsurer under the cvar risk measure and vajda condition</title>
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<abstract displayLabel="Summary">In this paper, we study the optimal reinsurance contracts that minimize the convex combination of the Conditional Value-at-Risk (CVaR) of the insurer's loss and the reinsurer's loss over the class of ceded loss functions such that the retained loss function is increasing and the ceded loss function satisfies Vajda condition. Among a general class of reinsurance premium principles that satisfy the properties of risk loading and convex order preserving, the optimal solutions are obtained. Our results show that the optimal ceded loss functions are in the form of five interconnected segments for general reinsurance premium principles, and they can be further simplified to four interconnected segments if more properties are added to reinsurance premium principles. Finally, we derive optimal parameters for the expected value premium principle and give a numerical study to analyze the impact of the weighting factor on the optimal reinsurance.</abstract>
<note type="statement of responsibility">Yanhong Chen</note>
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<topic>Reaseguro</topic>
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<topic>Matemática del seguro</topic>
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<topic>Cálculo actuarial</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
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<text>10/05/2021 Volumen 51 Número 2 - mayo 2021 , p. 631 - 659</text>
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