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- Publisher Website: 10.1016/j.insmatheco.2019.02.006
- Scopus: eid_2-s2.0-85062261557
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Article: Risk-adjusted Bowley reinsurance under distorted probabilities
Title | Risk-adjusted Bowley reinsurance under distorted probabilities |
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Authors | |
Keywords | Bowley solution Stackelberg equilibria Equilibrium reinsurance strategy Pricing density General premium principle |
Issue Date | 2019 |
Publisher | Elsevier 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? |
Abstract | In 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 Identifier | http://hdl.handle.net/10722/278280 |
ISSN | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Cheung, KC | - |
dc.contributor.author | Yam, SCP | - |
dc.contributor.author | Zhang, Y | - |
dc.date.accessioned | 2019-10-04T08:10:58Z | - |
dc.date.available | 2019-10-04T08:10:58Z | - |
dc.date.issued | 2019 | - |
dc.identifier.citation | Insurance: Mathematics and Economics, 2019, v. 86, p. 64-72 | - |
dc.identifier.issn | 0167-6687 | - |
dc.identifier.uri | http://hdl.handle.net/10722/278280 | - |
dc.description.abstract | In 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.language | eng | - |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime | - |
dc.relation.ispartof | Insurance: Mathematics and Economics | - |
dc.subject | Bowley solution | - |
dc.subject | Stackelberg equilibria | - |
dc.subject | Equilibrium reinsurance strategy | - |
dc.subject | Pricing density | - |
dc.subject | General premium principle | - |
dc.title | Risk-adjusted Bowley reinsurance under distorted probabilities | - |
dc.type | Article | - |
dc.identifier.email | Cheung, KC: kccg@hku.hk | - |
dc.identifier.authority | Cheung, KC=rp00677 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.insmatheco.2019.02.006 | - |
dc.identifier.scopus | eid_2-s2.0-85062261557 | - |
dc.identifier.hkuros | 306404 | - |
dc.identifier.volume | 86 | - |
dc.identifier.spage | 64 | - |
dc.identifier.epage | 72 | - |
dc.identifier.isi | WOS:000467891400006 | - |
dc.publisher.place | Netherlands | - |
dc.identifier.issnl | 0167-6687 | - |