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Article: Optimal retention for a stop-loss reinsurance with incomplete information
Title | Optimal retention for a stop-loss reinsurance with incomplete information |
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Authors | |
Keywords | Distribution-free approximation Expectation premium principle Optimal retention Stochastic orders Stop-loss reinsurance Value-at-risk |
Issue Date | 2015 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime |
Citation | Insurance: Mathematics and Economics, 2015, v. 65, p. 15-21 How to Cite? |
Abstract | This paper considers the determination of optimal retention in a stop-loss reinsurance. Assume that we only have incomplete information on a risk XX for an insurer, we use an upper bound for the value at risk (VaR) of the total loss of an insurer after stop-loss reinsurance arrangement as a risk measure. The adopted method is a distribution-free approximation which allows to construct the extremal random variables with respect to the stochastic dominance order and the stop-loss order. We derive the optimal retention such that the risk measure used in this paper attains the minimum. We establish the sufficient and necessary conditions for the existence of the nontrivial optimal stop-loss reinsurance. For illustration purpose, some numerical examples are included and compared with the results yielded in Theorem 2.1 of Cai and Tan (2007). |
Persistent Identifier | http://hdl.handle.net/10722/231320 |
ISSN | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Hu, X | - |
dc.contributor.author | Yang, H | - |
dc.contributor.author | Zhang, L | - |
dc.date.accessioned | 2016-09-20T05:22:18Z | - |
dc.date.available | 2016-09-20T05:22:18Z | - |
dc.date.issued | 2015 | - |
dc.identifier.citation | Insurance: Mathematics and Economics, 2015, v. 65, p. 15-21 | - |
dc.identifier.issn | 0167-6687 | - |
dc.identifier.uri | http://hdl.handle.net/10722/231320 | - |
dc.description.abstract | This paper considers the determination of optimal retention in a stop-loss reinsurance. Assume that we only have incomplete information on a risk XX for an insurer, we use an upper bound for the value at risk (VaR) of the total loss of an insurer after stop-loss reinsurance arrangement as a risk measure. The adopted method is a distribution-free approximation which allows to construct the extremal random variables with respect to the stochastic dominance order and the stop-loss order. We derive the optimal retention such that the risk measure used in this paper attains the minimum. We establish the sufficient and necessary conditions for the existence of the nontrivial optimal stop-loss reinsurance. For illustration purpose, some numerical examples are included and compared with the results yielded in Theorem 2.1 of Cai and Tan (2007). | - |
dc.language | eng | - |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime | - |
dc.relation.ispartof | Insurance: Mathematics and Economics | - |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.subject | Distribution-free approximation | - |
dc.subject | Expectation premium principle | - |
dc.subject | Optimal retention | - |
dc.subject | Stochastic orders | - |
dc.subject | Stop-loss reinsurance | - |
dc.subject | Value-at-risk | - |
dc.title | Optimal retention for a stop-loss reinsurance with incomplete information | - |
dc.type | Article | - |
dc.identifier.email | Yang, H: hlyang@hku.hk | - |
dc.identifier.authority | Yang, H=rp00826 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1016/j.insmatheco.2015.08.005 | - |
dc.identifier.scopus | eid_2-s2.0-84941042781 | - |
dc.identifier.hkuros | 263497 | - |
dc.identifier.volume | 65 | - |
dc.identifier.spage | 15 | - |
dc.identifier.epage | 21 | - |
dc.identifier.isi | WOS:000367109800003 | - |
dc.publisher.place | Netherlands | - |
dc.identifier.issnl | 0167-6687 | - |