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Optimal reinsurance with general risk functions

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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.otherDepartment of Mathematics and Statistics, Concordia Universityen
dc.date.accessioned2014-01-15T16:45:50Z
dc.date.available2014-01-15T16:45:50Z
dc.date.issued2008-03
dc.description.abstractThe 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.en
dc.description.sponsorshipResearch partially supported by “Welzia Management SGIIC SA”, “RD_Sistemas SA”, “Comunidad Autónoma de Madrid” (Spain), Grant s − 0505/tic/000230, and “MEyC” (Spain), Grant SEJ2006 − 15401 − C04en
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/18137
dc.identifier.uxxiDT/0000001134
dc.language.isoengen
dc.publisherDepartment of Mathematics and Statistics, Concordia Universityen
dc.relation.hasversionhttp://hdl.handle.net/10016/6497
dc.relation.ispartofseriesTechnical Reporten
dc.relation.ispartofseriesNo. 3/08
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.accessRightsopen accesses
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.ecienciaEmpresaes
dc.subject.jelG22
dc.subject.jelG11
dc.subject.otherOptimal reinsurance, Risk measure and deviation measure, Optimality conditionses
dc.subject.otherRisk measure and deviation measureen
dc.subject.otherOptimality conditionsen
dc.titleOptimal reinsurance with general risk functionsen
dc.typeworking paper*
dc.type.hasVersionSMUR*
dspace.entity.typePublication
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