The Pareto-Optimal Stop-Loss Reinsurance

Haiyan You and Xiaoqing Zhou

Mathematical Problems in Engineering, 2021, vol. 2021, 1-6

Abstract:

Reinsurance plays a role of a stabilizer of the insurance industry and can be an effective tool to reduce the risk for the insurer. This paper aims to provide the optimal reinsurance design associated with the stop-loss reinsurance under the criterion of value-at-risk (VaR) risk measure. In this paper, the probability levels in the VaRs used by the both reinsurance parties are assumed to be different and the optimality results of reinsurance are derived by minimizing linear combination of the VaRs of the cedent and the reinsurer. The optimal parameter values of the stop-loss reinsurance policy are formally derived under the expectation premium principle.

Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/MPE/2021/2839726.pdf (application/pdf)
http://downloads.hindawi.com/journals/MPE/2021/2839726.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:2839726

DOI: 10.1155/2021/2839726

Access Statistics for this article

More articles in Mathematical Problems in Engineering from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().