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Stability of the optimal reinsurance with respect to the risk measure

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorBalbás, Alejandro
dc.contributor.authorBalbás, Beatriz
dc.contributor.authorHeras, Antonio
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned2010-01-15T11:47:08Z
dc.date.available2010-01-15T11:47:08Z
dc.date.issued2010-01
dc.description.abstractThe optimal reinsurance problem is a classic topic in Actuarial Mathematics. Recent approaches consider a coherent or expectation bounded risk measure and minimize the global risk of the ceding company under adequate constraints. However, there is no consensus about the risk measure that the insurer must use, since every risk measure presents advantages and shortcomings when compared with others. This paper deals with a discrete probability space and analyzes the stability of the optimal reinsurance with respect to the risk measure that the insurer uses. We will demonstrate that there is a “stable optimal retention” that will show no sensitivity, insofar as it will solve the optimal reinsurance problem for many risk measures, thus providing a very robust reinsurance plan. This stable optimal retention is a stop-loss contract, and it is easy to compute in practice. A fast algorithm will be given and a numerical example presented.
dc.description.sponsorshipResearch partially supported by “RD_Sistemas SA”, “Comunidad Autónoma de Madrid” (Spain), Grant s − 0505/tic/000230, and “MEyC” (Spain), Grant SEJ2006 − 15401 − C04.en
dc.format.mimetypeapplication/pdf
dc.identifier.repecwb100201
dc.identifier.urihttps://hdl.handle.net/10016/6446
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Business Economics
dc.relation.ispartofseries10-02
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEmpresa
dc.subject.jelG22
dc.subject.jelG11
dc.subject.otherOptimal reinsurance
dc.subject.otherRisk measure
dc.subject.otherSensitivity
dc.subject.otherStable optimal retention
dc.subject.otherStop-loss reinsurance
dc.titleStability of the optimal reinsurance with respect to the risk measure
dc.typeworking paper*
dspace.entity.typePublication
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