Journal article
Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs
Insurance, mathematics & economics, Vol.101(1), pp.23-37
11/01/2021
DOI: 10.1016/j.insmatheco.2020.06.008
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.
Details
- Title: Subtitle
- Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs
- Creators
- Tim J. Boonen - University of AmsterdamMario Ghossoub - University of Waterloo
- Resource Type
- Journal article
- Publication Details
- Insurance, mathematics & economics, Vol.101(1), pp.23-37
- DOI
- 10.1016/j.insmatheco.2020.06.008
- ISSN
- 0167-6687
- eISSN
- 1873-5959
- Publisher
- Elsevier B.V
- Number of pages
- 15
- Grant note
- 2018-03961). / Natural Sciences and Engineering Research Council of Canada (http://dx.doi.org/10.13039/501100000038)
- Language
- English
- Date published
- 11/01/2021
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9985179680702771
Metrics
1 Record Views