Optimal Reinsurance from the Perspectives of Both Insurers and Reinsurers Under General Distortion Risk Measures

31 Pages Posted: 6 Oct 2017

See all articles by Ka Chun Cheung

Ka Chun Cheung

The University of Hong Kong

Wenyuan Wang

Xiamen University

Date Written: October 5, 2017

Abstract

In this article, we propose new methodologies to tackle and the problems studied in [Cai, J., Lemieux, C. and Liu, F., 2016, Optimal reinsurance from the perspectives of both an insurer and a reinsurer, ASTIN Bulletin, 46(3), 815-849]. Optimal reinsurance contracts that minimize the convex combination of the risk measurements of the insurer's loss and the reinsurer's loss are characterized under different types of constraints. The results in Cai et al. (2016) are considerably extended to the general framework of distortion risk measures and distortion premium principle.

Keywords: Reinsurance, Distortion risk measure, Generalized distortion premium principle, Constraints

Suggested Citation

Cheung, Ka Chun and Wang, Wenyuan, Optimal Reinsurance from the Perspectives of Both Insurers and Reinsurers Under General Distortion Risk Measures (October 5, 2017). Available at SSRN: https://ssrn.com/abstract=3048626 or http://dx.doi.org/10.2139/ssrn.3048626

Ka Chun Cheung

The University of Hong Kong ( email )

Pokfulam Road
Hong Kong, Pokfulam HK
China

Wenyuan Wang (Contact Author)

Xiamen University ( email )

Xiamen, Fujian 361005
China

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