Title: Optimal reinsurance revisited - A geometric approach / Ka Chun Cheung
Author: Chun Cheung, Ka
Notes: Sumario: In this paper, we reexamine the two optimal reinsurance problems studied in Cai et al. (2008), in which the objectives are to find the optimal reinsurance contracts that minimize the value-at-risk (VaR) and the conditional tail expectation (CTE) of the total risk exposure under the expectation premium principle. We provide a simpler and more transparent approach to solve these problems by using intuitive geometric arguments. The usefulness of this approach is further demonstrated by solving the VaR-minimization problem when the expectation premium principle is replaced by Wang's premium principle.
Other categories: 6
Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/