Optimal reinsurance revisited - A geometric approach

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Articles Articles Optimal reinsurance revisited - A geometric approach - Chun Cheung, Ka

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Title: Optimal reinsurance revisited - A geometric approach / Ka Chun Cheung

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.

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