Optimal reinsurance with general risk measures

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• 作者：Alej ; ro Balb&#xe1 ; s ; Beatriz Balb&#xe1 ; s ; Antonio Heras
• 关键词：Optimal reinsurance ; Risk measure and deviation measure ; Optimality conditions
• 刊名：Insurance: Mathematics and Economics
• 出版年：2009
• 出版时间：June 2009
• 年：2009
• 卷：44
• 期：3
• 页码：374-384
• 全文大小：1855 K

文摘

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.