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Average value-at-risk minimizing reinsurance under wang's premium principle with constraints

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      <subfield code="a">Cheung, K.C.</subfield>
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      <subfield code="a">Average value-at-risk minimizing reinsurance under wang's premium principle with constraints</subfield>
      <subfield code="c">K.C. Cheung,  F. Liu, S.C.P. Yam</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="w">MAP20077000420</subfield>
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      <subfield code="d">Belgium : ASTIN and AFIR Sections of the International Actuarial Association</subfield>
      <subfield code="x">0515-0361</subfield>
      <subfield code="g">05/11/2012 Volumen 42 Número 2  - noviembre 2012 </subfield>
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