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- Publisher Website: 10.1016/j.insmatheco.2020.06.008
- Scopus: eid_2-s2.0-85087063852
- WOS: WOS:000712541100002
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Article: Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs
Title | Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs |
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Authors | |
Keywords | Distortion premium principle Distortion risk measures Heterogeneous beliefs Multiple reinsurers Optimal reinsurance design |
Issue Date | 2021 |
Citation | Insurance: Mathematics and Economics, 2021, v. 101, p. 23-37 How to Cite? |
Abstract | This paper unifies the work on multiple reinsurers, distortion risk measures, premium budgets, and heterogeneous beliefs. An insurer minimizes a distortion risk measure, while seeking reinsurance with finitely many reinsurers. The reinsurers use distortion premium principles, and they are allowed to have heterogeneous beliefs regarding the underlying probability distribution. We provide a characterization of optimal reinsurance indemnities, and we show that they are of a layer-insurance type. This is done both with and without a budget constraint, i.e., an upper bound constraint on the aggregate premium. Moreover, the optimal reinsurance indemnities enable us to identify a representative reinsurer in both situations. Finally, two examples with the Conditional Value-at-Risk illustrate our results. |
Persistent Identifier | http://hdl.handle.net/10722/328783 |
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 | Boonen, Tim J. | - |
dc.contributor.author | Ghossoub, Mario | - |
dc.date.accessioned | 2023-07-22T06:23:59Z | - |
dc.date.available | 2023-07-22T06:23:59Z | - |
dc.date.issued | 2021 | - |
dc.identifier.citation | Insurance: Mathematics and Economics, 2021, v. 101, p. 23-37 | - |
dc.identifier.issn | 0167-6687 | - |
dc.identifier.uri | http://hdl.handle.net/10722/328783 | - |
dc.description.abstract | This paper unifies the work on multiple reinsurers, distortion risk measures, premium budgets, and heterogeneous beliefs. An insurer minimizes a distortion risk measure, while seeking reinsurance with finitely many reinsurers. The reinsurers use distortion premium principles, and they are allowed to have heterogeneous beliefs regarding the underlying probability distribution. We provide a characterization of optimal reinsurance indemnities, and we show that they are of a layer-insurance type. This is done both with and without a budget constraint, i.e., an upper bound constraint on the aggregate premium. Moreover, the optimal reinsurance indemnities enable us to identify a representative reinsurer in both situations. Finally, two examples with the Conditional Value-at-Risk illustrate our results. | - |
dc.language | eng | - |
dc.relation.ispartof | Insurance: Mathematics and Economics | - |
dc.subject | Distortion premium principle | - |
dc.subject | Distortion risk measures | - |
dc.subject | Heterogeneous beliefs | - |
dc.subject | Multiple reinsurers | - |
dc.subject | Optimal reinsurance design | - |
dc.title | Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.insmatheco.2020.06.008 | - |
dc.identifier.scopus | eid_2-s2.0-85087063852 | - |
dc.identifier.volume | 101 | - |
dc.identifier.spage | 23 | - |
dc.identifier.epage | 37 | - |
dc.identifier.isi | WOS:000712541100002 | - |