RT Generic
T1 Optimal reinsurance with general risk functions
A1 Balbás, Alejandro
A1 Balbás, Beatriz
A1 Heras, Antonio
A2 Department of Mathematics and Statistics, Concordia University
AB The paper studies the optimal reinsurance problem if the risk level ismeasured by a general risk function. Necessary and sufficient optimality conditions are givenfor a wide family of risk functions, including DeviationMeasures, Expectation Bounded RiskMeasures and Coherent Measures of Risk. Then the optimality conditions are used to verifywhether the classical reinsurance contracts (quota-share, stop-loss) are optimal regardlessof the risk function to be used, and the paper ends by particularizing the findings so as tostudy in detail two deviation measures and the Conditional Value at Risk.
PB Department of Mathematics and Statistics, Concordia University
YR 2008
FD 2008-03
LK https://hdl.handle.net/10016/18137
UL https://hdl.handle.net/10016/18137
LA eng
NO Research partially supported by “Welzia Management SGIIC SA”, “RD_SistemasSA”, “Comunidad Autónoma de Madrid” (Spain), Grant s − 0505/tic/000230, and“MEyC” (Spain), Grant SEJ2006 − 15401 − C04
DS e-Archivo
RD 17 jul. 2024