Pareto-Optimal Reinsurance Revisited: A Two-Stage Optimisation Procedure Approach
Joint Authors
Qu, Zhongfeng
Fang, Ying
Wang, Lu
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-16, 16 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-09-29
Country of Publication
Egypt
No. of Pages
16
Main Subjects
Abstract 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.
American Psychological Association (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
Modern Language Association (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
American Medical Association (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
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1194164