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- Publisher Website: 10.1080/03461238.2020.1867631
- Scopus: eid_2-s2.0-85099314023
- WOS: WOS:000605741400001
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Article: Bowley reinsurance with asymmetric information on the insurer's risk preferences
Title | Bowley reinsurance with asymmetric information on the insurer's risk preferences |
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Authors | |
Keywords | Bowley reinsurance asymmetric information general premium principle distortion risk measure value-at-risk |
Issue Date | 2021 |
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, 2021, v. 2021 n. 7, p. 623-644 How to Cite? |
Abstract | The Bowley solution refers to the optimal pricing density for the reinsurer and optimal ceded loss for the insurer when there is a monopolistic reinsurer. In a sequential game, the reinsurer first sets the pricing kernel, and thereafter the insurer selects the reinsurance contract given the pricing kernel. In this article, we study Bowley solutions under asymmetric information on the insurer's risk preferences where the identity of the insurer is unknown to the reinsurer. By assuming that the insurer adopts a Value-at-Risk measure or a convex distortion risk measure, the optimal pricing kernel for the insurer and the optimal ceded loss function for the reinsurer are determined. Numerical examples are presented to illustrate the results. |
Persistent Identifier | http://hdl.handle.net/10722/306739 |
ISSN | 2021 Impact Factor: 1.782 2020 SCImago Journal Rankings: 1.061 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Bonnen, TJ | - |
dc.contributor.author | Cheung, KC | - |
dc.contributor.author | Zhang, Y | - |
dc.date.accessioned | 2021-10-22T07:38:55Z | - |
dc.date.available | 2021-10-22T07:38:55Z | - |
dc.date.issued | 2021 | - |
dc.identifier.citation | Scandinavian Actuarial Journal, 2021, v. 2021 n. 7, p. 623-644 | - |
dc.identifier.issn | 0346-1238 | - |
dc.identifier.uri | http://hdl.handle.net/10722/306739 | - |
dc.description.abstract | The Bowley solution refers to the optimal pricing density for the reinsurer and optimal ceded loss for the insurer when there is a monopolistic reinsurer. In a sequential game, the reinsurer first sets the pricing kernel, and thereafter the insurer selects the reinsurance contract given the pricing kernel. In this article, we study Bowley solutions under asymmetric information on the insurer's risk preferences where the identity of the insurer is unknown to the reinsurer. By assuming that the insurer adopts a Value-at-Risk measure or a convex distortion risk measure, the optimal pricing kernel for the insurer and the optimal ceded loss function for the reinsurer are determined. Numerical examples are presented to illustrate the results. | - |
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 [JOURNAL TITLE] on [date of publication], available online: http://www.tandfonline.com/[Article DOI]. | - |
dc.subject | Bowley reinsurance | - |
dc.subject | asymmetric information | - |
dc.subject | general premium principle | - |
dc.subject | distortion risk measure | - |
dc.subject | value-at-risk | - |
dc.title | Bowley reinsurance with asymmetric information on the insurer's risk preferences | - |
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 | 10.1080/03461238.2020.1867631 | - |
dc.identifier.scopus | eid_2-s2.0-85099314023 | - |
dc.identifier.hkuros | 328424 | - |
dc.identifier.volume | 2021 | - |
dc.identifier.issue | 7 | - |
dc.identifier.spage | 623 | - |
dc.identifier.epage | 644 | - |
dc.identifier.isi | WOS:000605741400001 | - |
dc.publisher.place | Sweden | - |