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Article: Optimal reinsurance revisited - A geometric approach
Title | Optimal reinsurance revisited - A geometric approach | ||||||
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Authors | |||||||
Keywords | Comonotonicity Conditional tail expectation Expectation premium principle Increasing convex function Reinsurance Value-at-risk Wang's premium principle | ||||||
Issue Date | 2010 | ||||||
Publisher | Peeters Publishers. The Journal's web site is located at http://poj.peeters-leuven.be/content.php?url=journal&journal_code=AST | ||||||
Citation | Astin Bulletin, 2010, v. 40 n. 1, p. 221-239 How to Cite? | ||||||
Abstract | 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. © 2010 by Astin Bulletin. All rights reserved. | ||||||
Persistent Identifier | http://hdl.handle.net/10722/82895 | ||||||
ISSN | 2023 Impact Factor: 1.7 2023 SCImago Journal Rankings: 0.979 | ||||||
ISI Accession Number ID |
Funding Information: This work was supported by a grant from the Research Grants Council of the Hong Kong Special Administrative Region, China (Project No. HKU 701409P) and the Seed Funding Programme for Basic Research of The University of Hong Kong (Project No.: 200905159011). The author wishes to thank the anonymous referees for helpful comments and suggestions. | ||||||
References | |||||||
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DC Field | Value | Language |
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dc.contributor.author | Cheung, KC | en_HK |
dc.date.accessioned | 2010-09-06T08:34:37Z | - |
dc.date.available | 2010-09-06T08:34:37Z | - |
dc.date.issued | 2010 | en_HK |
dc.identifier.citation | Astin Bulletin, 2010, v. 40 n. 1, p. 221-239 | en_HK |
dc.identifier.issn | 0515-0361 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/82895 | - |
dc.description.abstract | 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. © 2010 by Astin Bulletin. All rights reserved. | en_HK |
dc.language | eng | en_HK |
dc.publisher | Peeters Publishers. The Journal's web site is located at http://poj.peeters-leuven.be/content.php?url=journal&journal_code=AST | en_HK |
dc.relation.ispartof | ASTIN Bulletin | en_HK |
dc.subject | Comonotonicity | en_HK |
dc.subject | Conditional tail expectation | en_HK |
dc.subject | Expectation premium principle | en_HK |
dc.subject | Increasing convex function | en_HK |
dc.subject | Reinsurance | en_HK |
dc.subject | Value-at-risk | en_HK |
dc.subject | Wang's premium principle | en_HK |
dc.title | Optimal reinsurance revisited - A geometric approach | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0515-0361&volume=40&issue=1&spage=221&epage=239&date=2010&atitle=Optimal+reinsurance+revisited:+a+geometric+approach | en_HK |
dc.identifier.email | Cheung, KC: kccg@hku.hk | en_HK |
dc.identifier.authority | Cheung, KC=rp00677 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.2143/AST.40.1.2049226 | en_HK |
dc.identifier.scopus | eid_2-s2.0-77953750787 | en_HK |
dc.identifier.hkuros | 168670 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-77953750787&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 40 | en_HK |
dc.identifier.issue | 1 | en_HK |
dc.identifier.spage | 221 | en_HK |
dc.identifier.epage | 239 | en_HK |
dc.identifier.eissn | 1783-1350 | - |
dc.identifier.isi | WOS:000278627600009 | - |
dc.publisher.place | Belgium | en_HK |
dc.relation.project | Conditional comonotonicity and its application in actuarial science and financial economics | - |
dc.identifier.scopusauthorid | Cheung, KC=10038874000 | en_HK |
dc.identifier.issnl | 0515-0361 | - |