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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/6497
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| Title: | Optimal Reinsurance with General Risk Measures |
| Author(s): | Balbás, Alejandro [balbas]
Balbás, Beatriz
Heras, Antonio |
| Publisher: | Elsevier |
| Issued date: | Jun-2009 |
| Citation: | Insurance: Mathematics and Economics, June 2009, vol.44, n.3, p. 374-384. |
| URI: | http://hdl.handle.net/10016/6497 |
| ISSN: | 01676687 |
| Abstract: | This paper studies the optimal reinsurance problem when risk is measured by a general risk measure. Necessary and sufficient optimality conditions are given for a wide family of risk measures, including deviation measures, expectation bounded risk measures and coherent measures of risk. The optimality conditions are used to verify whether the classical reinsurance contracts (quota-share, stop-loss) are optimal essentially, regardless of the risk measure used. The paper ends by particularizing the findings, so as to study in detail two deviation measures and the conditional value at risk. |
| Review: | PeerReviewed |
| Publisher version: | http://dx.doi.org/10.1016/j.insmatheco.2008.11.008 |
| Keywords: | Optimal reinsurance
Risk measure and deviation measure
Optimality conditions |
| JEL Classification: | G22
G11 |
| Rights: | ©Elsevier |
| Appears in Collections: | DEE - Artículos de Revistas
Economists Online
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