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Optimal Limited Stop-Loss Reinsurance under VaR, TVaR, and CTE Risk Measures
Joint Authors
Zhang, Huadong
Zhou, Xianhua
Fan, Qingquan
Source
Mathematical Problems in Engineering
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-10-11
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
This paper aims to provide a practical optimal reinsurance scheme underparticular conditions, with the goal of minimizing total insurer risk.
Excessof loss reinsurance is an essential part of the reinsurance market, but the conceptof stop-loss reinsurance tends to be unpopular.
We study the purchasearrangement of optimal reinsurance, under which the liability of reinsurers islimited by the excess of loss ratio, in order to generate a reinsurance schemethat is closer to reality.
We explore the optimization of limited stop-lossreinsurance under three risk measures: value at risk (VaR), tail value at risk(TVaR), and conditional tail expectation (CTE).
We analyze the topic fromthe following aspects: (1) finding the optimal franchise point with limitedstop-loss coverage, (2) finding the optimal limited stop-loss coverage withina certain franchise point, and (3) finding the optimal franchise point withlimited stop-loss coverage.
We provide several numerical examples.
Our resultsshow the existence of optimal values and locations under the variousconstraint conditions.
American Psychological Association (APA)
Zhou, Xianhua& Zhang, Huadong& Fan, Qingquan. 2015. Optimal Limited Stop-Loss Reinsurance under VaR, TVaR, and CTE Risk Measures. Mathematical Problems in Engineering،Vol. 2015, no. 2015, pp.1-12.
https://search.emarefa.net/detail/BIM-1072990
Modern Language Association (MLA)
Zhou, Xianhua…[et al.]. Optimal Limited Stop-Loss Reinsurance under VaR, TVaR, and CTE Risk Measures. Mathematical Problems in Engineering No. 2015 (2015), pp.1-12.
https://search.emarefa.net/detail/BIM-1072990
American Medical Association (AMA)
Zhou, Xianhua& Zhang, Huadong& Fan, Qingquan. Optimal Limited Stop-Loss Reinsurance under VaR, TVaR, and CTE Risk Measures. Mathematical Problems in Engineering. 2015. Vol. 2015, no. 2015, pp.1-12.
https://search.emarefa.net/detail/BIM-1072990
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1072990