Optimal Reinsurance Design for Pareto Optimum: From the Perspective of Multiple Reinsurers
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2016, Issue 2016 (31 Dec. 2016), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-09-26
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
This paper investigates optimal reinsurance strategies for an insurer which cedes the insured risk to multiple reinsurers.
Assume that the insurer and every reinsurer apply the coherent risk measures.
Then, we find out the necessary and sufficient conditions for the reinsurance market to achieve Pareto optimum; that is, every ceded-loss function and the retention function are in the form of “multiple layers reinsurance.”
American Psychological Association (APA)
Rong, Xing& Zhu, Yunzhou. 2016. Optimal Reinsurance Design for Pareto Optimum: From the Perspective of Multiple Reinsurers. Mathematical Problems in Engineering،Vol. 2016, no. 2016, pp.1-10.
https://search.emarefa.net/detail/BIM-1111823
Modern Language Association (MLA)
Rong, Xing& Zhu, Yunzhou. Optimal Reinsurance Design for Pareto Optimum: From the Perspective of Multiple Reinsurers. Mathematical Problems in Engineering No. 2016 (2016), pp.1-10.
https://search.emarefa.net/detail/BIM-1111823
American Medical Association (AMA)
Rong, Xing& Zhu, Yunzhou. Optimal Reinsurance Design for Pareto Optimum: From the Perspective of Multiple Reinsurers. Mathematical Problems in Engineering. 2016. Vol. 2016, no. 2016, pp.1-10.
https://search.emarefa.net/detail/BIM-1111823
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1111823