Publication:
Optimal Reinsurance with General Risk Measures

Thumbnail Image
Identifiers
URI: https://hdl.handle.net/10016/6497
ISSN: 01676687
Files
optimal_balbas_IME_2009_ps.pdf (310.79 KB)
Publication date
2009-06
Defense date
Authors
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Impact
Google Scholar
Export
Research Projects
Organizational Units
Journal Issue
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.
Description
Keywords
Optimal reinsurance, Risk measure and deviation measure, Optimality conditions
Bibliographic citation
Insurance: Mathematics and Economics, June 2009, vol.44, n.3, p. 374-384.
Collections
DEE - Artículos de Revistas
Economists Online