Optimal reinsurance: a reinsurer's perspective
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In this paper, the optimal safety loading that the reinsurer should set in the reinsurance pricing is studied, which is novel in the literature. It is first assumed that the insurer will choose the form of the reinsurance contract by following the results derived in Cai et al. Different optimality criteria from the reinsurer’s perspective are then studied, such as maximising the expectation of the profit, maximising the utility of the profit and minimising the value-at-risk of the reinsurer’s...[Show more]
dc.contributor.author | Huang, Fei | |
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dc.contributor.author | Yu, Honglin | |
dc.date.accessioned | 2019-04-21T06:12:24Z | |
dc.date.available | 2019-04-21T06:12:24Z | |
dc.identifier.issn | 1748-4995 | |
dc.identifier.uri | http://hdl.handle.net/1885/160546 | |
dc.description.abstract | In this paper, the optimal safety loading that the reinsurer should set in the reinsurance pricing is studied, which is novel in the literature. It is first assumed that the insurer will choose the form of the reinsurance contract by following the results derived in Cai et al. Different optimality criteria from the reinsurer’s perspective are then studied, such as maximising the expectation of the profit, maximising the utility of the profit and minimising the value-at-risk of the reinsurer’s total loss. By applying the concept of comonotonicity, the problem in which the reinsurer is facing two risks with unknown dependency structure is also solved. Closed-form solutions are obtained when the underlying losses are zero-modified exponentially distributed. Finally, numerical examples are provided to illustrate the results derived. | |
dc.format.mimetype | application/pdf | |
dc.language.iso | en_AU | |
dc.publisher | Faculty of Actuaries and Institute of Actuaries | |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-nd/4.0/ | |
dc.source | Annals of Actuarial Science | |
dc.title | Optimal reinsurance: a reinsurer's perspective | |
dc.type | Journal article | |
local.description.notes | Imported from ARIES | |
local.identifier.citationvolume | 12 | |
dc.date.issued | 2018 | |
local.identifier.absfor | 150204 - Insurance Studies | |
local.identifier.ariespublication | u4485658xPUB2162 | |
local.type.status | Published Version | |
local.contributor.affiliation | Huang, Fei, College of Business and Economics, ANU | |
local.contributor.affiliation | Yu, Honglin, College of Business and Economics, ANU | |
local.bibliographicCitation.issue | 1 | |
local.identifier.doi | 10.1017/S1748499517000161 | |
local.identifier.absseo | 900103 - Superannuation and Insurance Services | |
dc.date.updated | 2019-03-12T07:33:07Z | |
local.identifier.thomsonID | 000437699300007 | |
dcterms.accessRights | Open Access | |
dc.provenance | Journal: Annals of Actuarial Science (ISSN: 1748-4995, ESSN: 1748-5002) RoMEO: This is a RoMEO green journal Paid OA: A paid open access option is available for this journal. Author's Pre-print: green tick author can archive pre-print (ie pre-refereeing) Author's Post-print: green tick author can archive post-print (ie final draft post-refereeing) Publisher's Version/PDF: grey tick subject to Restrictions below, author can archive publisher's version/PDF General Conditions: Author's Pre-print on author's personal website, departmental website, social media websites, institutional repository, non-commercial subject-based repositories, such as PubMed Central, Europe PMC or arXiv Author's post-print on author's personal website, departmental website, institutional repository, non-commercial subject-based repositories, such as PubMed Central, Europe PMC or arXiv, on acceptance of publication Publisher's version/PDF may be used Publisher's version/PDF may be used on author's personal website, departmental website or institutional repository, on publication | |
dc.rights.license | Creative Commons Attribution Non-Commercial No Derivatives License | |
Collections | ANU Research Publications |
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