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Article: Risk-adjusted Bowley reinsurance under distorted probabilities

TitleRisk-adjusted Bowley reinsurance under distorted probabilities
Authors
KeywordsBowley solution
Stackelberg equilibria
Equilibrium reinsurance strategy
Pricing density
General premium principle
Issue Date2019
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics and Economics, 2019, v. 86, p. 64-72 How to Cite?
AbstractIn the seminal work of Chan and Gerber (1985), one of the earliest game theoretical approaches was proposed to model the interaction between the reinsurer and insurer; in particular, the optimal pricing density for the reinsurer and optimal ceded loss for the insurer were determined so that their corresponding expected utilities could be maximized. Over decades, their advocated Bowley solution (could be understood as Stackelberg equilibria) concept of equilibrium reinsurance strategy has not been revisited in the modern risk management framework. In this article, we attempt to fill this gap by extending their work to the setting of general premium principle for the reinsurer and distortion risk measure for the insurer.
Persistent Identifierhttp://hdl.handle.net/10722/278280
ISSN
2017 Impact Factor: 1.265
2015 SCImago Journal Rankings: 1.000

 

DC FieldValueLanguage
dc.contributor.authorCheung, KC-
dc.contributor.authorYam, SCP-
dc.contributor.authorZhang, Y-
dc.date.accessioned2019-10-04T08:10:58Z-
dc.date.available2019-10-04T08:10:58Z-
dc.date.issued2019-
dc.identifier.citationInsurance: Mathematics and Economics, 2019, v. 86, p. 64-72-
dc.identifier.issn0167-6687-
dc.identifier.urihttp://hdl.handle.net/10722/278280-
dc.description.abstractIn the seminal work of Chan and Gerber (1985), one of the earliest game theoretical approaches was proposed to model the interaction between the reinsurer and insurer; in particular, the optimal pricing density for the reinsurer and optimal ceded loss for the insurer were determined so that their corresponding expected utilities could be maximized. Over decades, their advocated Bowley solution (could be understood as Stackelberg equilibria) concept of equilibrium reinsurance strategy has not been revisited in the modern risk management framework. In this article, we attempt to fill this gap by extending their work to the setting of general premium principle for the reinsurer and distortion risk measure for the insurer.-
dc.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime-
dc.relation.ispartofInsurance: Mathematics and Economics-
dc.subjectBowley solution-
dc.subjectStackelberg equilibria-
dc.subjectEquilibrium reinsurance strategy-
dc.subjectPricing density-
dc.subjectGeneral premium principle-
dc.titleRisk-adjusted Bowley reinsurance under distorted probabilities-
dc.typeArticle-
dc.identifier.emailCheung, KC: kccg@hku.hk-
dc.identifier.authorityCheung, KC=rp00677-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.insmatheco.2019.02.006-
dc.identifier.scopuseid_2-s2.0-85062261557-
dc.identifier.hkuros306404-
dc.identifier.volume86-
dc.identifier.spage64-
dc.identifier.epage72-
dc.publisher.placeNetherlands-

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