Publication: Optimal reinsurance with general risk functions
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2008-03
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Department of Mathematics and Statistics, Concordia University
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Abstract
The paper studies the optimal reinsurance problem if the risk level is
measured by a general risk function. Necessary and sufficient optimality conditions are given
for a wide family of risk functions, including DeviationMeasures, Expectation Bounded Risk
Measures and Coherent Measures of Risk. Then the optimality conditions are used to verify
whether the classical reinsurance contracts (quota-share, stop-loss) are optimal regardless
of the risk function to be used, and the paper ends by particularizing the findings so as to
study in detail two deviation measures and the Conditional Value at Risk.
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Keywords
Optimal reinsurance, Risk measure and deviation measure, Optimality conditions, Risk measure and deviation measure, Optimality conditions