This paper discusses optimal reinsurance strategy by minimizing insurer's risk under one general risk measure:Distortion risk measure.The authors assume that the reinsurance premium is determined by the expected v...This paper discusses optimal reinsurance strategy by minimizing insurer's risk under one general risk measure:Distortion risk measure.The authors assume that the reinsurance premium is determined by the expected value premium principle and the retained loss of the insurer is an increasing function of the initial loss.An explicit solution of the insurer's optimal reinsurance problem is obtained.The optimal strategies for some special distortion risk measures,such as value-at-risk(VaR) and tail value-at-risk(TVaR),are also investigated.展开更多
基金Zheng's research was supported by the Program of National Natural Science Foundation of Youth of China under Grant No.11201012 and PHR201007125Yang's research was supported by the Key Program of National Natural Science Foundation of China under Grant No.11131002the National Natural Science Foundation of China under Grant No.11271033
文摘This paper discusses optimal reinsurance strategy by minimizing insurer's risk under one general risk measure:Distortion risk measure.The authors assume that the reinsurance premium is determined by the expected value premium principle and the retained loss of the insurer is an increasing function of the initial loss.An explicit solution of the insurer's optimal reinsurance problem is obtained.The optimal strategies for some special distortion risk measures,such as value-at-risk(VaR) and tail value-at-risk(TVaR),are also investigated.
