Pareto-Optimal Reinsurance Revisited: A Two-Stage Optimisation Procedure Approach

المؤلفون المشاركون

Qu, Zhongfeng
Fang, Ying
Wang, Lu

المصدر

Mathematical Problems in Engineering

العدد

المجلد 2020، العدد 2020 (31 ديسمبر/كانون الأول 2020)، ص ص. 1-16، 16ص.

الناشر

Hindawi Publishing Corporation

تاريخ النشر

2020-09-29

دولة النشر

مصر

عدد الصفحات

16

التخصصات الرئيسية

هندسة مدنية

الملخص EN

In this paper, based on the Tail-Value-at-Risk (TVaR) measure, we revisit the Pareto-optimal reinsurance policies for the insurer and the reinsurer via a two-stage optimisation procedure.

To reduce ex-post moral hazard, we assume that reinsurance contracts satisfy the principle of indemnity and the incentive compatible constraint which have been advocated by Huberman et al.

(1983).

We show that the Pareto-optimal reinsurance policy exists if the reinsurance premiums can be expressed as an integral form.

The proposed class of premium principles encompasses the net premium principle, expected value premium principle, TVaR premium principle, generalized percentile premium principle, and so on.

We further use the TVaR premium principle and the expected value premium principle as examples to illustrate the two-stage optimisation procedure by deriving explicitly the Pareto-optimal reinsurance policies.

We extend the results by Cai et al.

(2017) when the expected value premium principle is replaced by the TVaR premium principle.

نمط استشهاد جمعية علماء النفس الأمريكية (APA)

Fang, Ying& Wang, Lu& Qu, Zhongfeng. 2020. Pareto-Optimal Reinsurance Revisited: A Two-Stage Optimisation Procedure Approach. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-16.
https://search.emarefa.net/detail/BIM-1194164

نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)

Fang, Ying…[et al.]. Pareto-Optimal Reinsurance Revisited: A Two-Stage Optimisation Procedure Approach. Mathematical Problems in Engineering No. 2020 (2020), pp.1-16.
https://search.emarefa.net/detail/BIM-1194164

نمط استشهاد الجمعية الطبية الأمريكية (AMA)

Fang, Ying& Wang, Lu& Qu, Zhongfeng. Pareto-Optimal Reinsurance Revisited: A Two-Stage Optimisation Procedure Approach. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-16.
https://search.emarefa.net/detail/BIM-1194164

نوع البيانات

مقالات

لغة النص

الإنجليزية

الملاحظات

Includes bibliographical references

رقم السجل

BIM-1194164