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Article: A constraint-free approach to optimal reinsurance
Title | A constraint-free approach to optimal reinsurance |
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Authors | |
Keywords | Optimal reinsurance expected utility convex premium principle Borch's theorem Pareto-optimal risk exchange |
Issue Date | 2019 |
Publisher | Taylor & Francis Scandinavia. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03461238.asp |
Citation | Scandinavian Actuarial Journal, 2019, v. 2019 n. 1, p. 62-79 How to Cite? |
Abstract | Reinsurance is available for a reinsurance premium that is determined according to a convex premium principle H. The first insurer selects the reinsurance coverage that maximizes its expected utility. No conditions are imposed on the reinsurer's payment. The optimality condition involves the gradient of H. For several combinations of H and the first insurer's utility function, closed-form formulas for the optimal reinsurance are given. If H is a zero utility principle (for example, an exponential principle or an expectile principle), it is shown, by means of Borch's Theorem, that the optimal reinsurer's payment is a function of the total claim amount and that this function satisfies the so-called 1-Lipschitz condition. Frequently, authors impose these two conclusions as hypotheses at the outset. |
Persistent Identifier | http://hdl.handle.net/10722/272970 |
ISSN | 2023 Impact Factor: 1.6 2023 SCImago Journal Rankings: 0.967 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Gerber, HU | - |
dc.contributor.author | Shiu, ESW | - |
dc.contributor.author | Yang, H | - |
dc.date.accessioned | 2019-08-06T09:20:07Z | - |
dc.date.available | 2019-08-06T09:20:07Z | - |
dc.date.issued | 2019 | - |
dc.identifier.citation | Scandinavian Actuarial Journal, 2019, v. 2019 n. 1, p. 62-79 | - |
dc.identifier.issn | 0346-1238 | - |
dc.identifier.uri | http://hdl.handle.net/10722/272970 | - |
dc.description.abstract | Reinsurance is available for a reinsurance premium that is determined according to a convex premium principle H. The first insurer selects the reinsurance coverage that maximizes its expected utility. No conditions are imposed on the reinsurer's payment. The optimality condition involves the gradient of H. For several combinations of H and the first insurer's utility function, closed-form formulas for the optimal reinsurance are given. If H is a zero utility principle (for example, an exponential principle or an expectile principle), it is shown, by means of Borch's Theorem, that the optimal reinsurer's payment is a function of the total claim amount and that this function satisfies the so-called 1-Lipschitz condition. Frequently, authors impose these two conclusions as hypotheses at the outset. | - |
dc.language | eng | - |
dc.publisher | Taylor & Francis Scandinavia. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03461238.asp | - |
dc.relation.ispartof | Scandinavian Actuarial Journal | - |
dc.rights | This is an Accepted Manuscript of an article published by Taylor & Francis in Scandinavian Actuarial Journal on 03 Jul 2018, available online: http://www.tandfonline.com/10.1080/03461238.2018.1488272 | - |
dc.subject | Optimal reinsurance | - |
dc.subject | expected utility | - |
dc.subject | convex premium principle | - |
dc.subject | Borch's theorem | - |
dc.subject | Pareto-optimal risk exchange | - |
dc.title | A constraint-free approach to optimal reinsurance | - |
dc.type | Article | - |
dc.identifier.email | Yang, H: hlyang@hku.hk | - |
dc.identifier.authority | Yang, H=rp00826 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1080/03461238.2018.1488272 | - |
dc.identifier.scopus | eid_2-s2.0-85049565615 | - |
dc.identifier.hkuros | 299913 | - |
dc.identifier.volume | 2019 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | 62 | - |
dc.identifier.epage | 79 | - |
dc.identifier.isi | WOS:000453696900003 | - |
dc.publisher.place | Sweden | - |
dc.identifier.issnl | 0346-1238 | - |