Balbás, Alejandro, Balbás, Beatriz and Heras, Antonio (2008) Optimal Reinsurance Wtih General Risk Functions. Technical Report. Concordia University. Department of Mathematics & Statistics, Montreal, Quebec.
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Abstract
The paper studies the optimal reinsurance problem if the risk level is measured by a general risk function. Necessary and sufficient optimality conditions are given
for a wide family of risk functions, including Deviation Measures, Expectation Bounded Risk Measures and Coherent Measures of Risk. Then the optimality conditions are used to verify whether the classical reinsurance contracts (quota-share, stop-loss) are optimal regardless of the risk function to be used, and the paper ends by particularizing the findings so as to study in detail two deviation measures and the Conditional Value at Risk.
| Divisions: | Concordia University > Faculty of Arts and Science > Mathematics and Statistics |
|---|---|
| Item Type: | Monograph (Technical Report) |
| Authors: | Balbás, Alejandro and Balbás, Beatriz and Heras, Antonio |
| Series Name: | Department of Mathematics & Statistics. Technical Report No. 3/08 |
| Corporate Authors: | Concordia University. Department of Mathematics & Statistics |
| Institution: | Concordia University |
| Date: | March 2008 |
| Keywords: | Optimal reinsurance, Risk measure and deviation measure, Optimality conditions |
| ID Code: | 6686 |
| Deposited By: | DIANE MICHAUD |
| Deposited On: | 03 Jun 2010 20:08 |
| Last Modified: | 18 Jan 2018 17:29 |
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