Optimal reinsurance under the Haezendonck risk measure

Yunzhou Zhu, Lixin Zhang and Yi Zhang

Statistics & Probability Letters, 2013, vol. 83, issue 4, 1111-1116

Abstract: In this work, we study the optimal reinsurance under the Haezendonck risk measure by minimizing the total risk of the insurer. Firstly, the optimal reinsurance model with the expectation premium principle is proposed. Then, on the basis of our model, the explicit solution is obtained, i.e. the stop-loss function. On the other hand, our result can be considered as a promotion of the optimal reinsurance under the CVaR risk measure since CVaR is only a specific case of the Haezendonck risk measure.

Keywords: Optimal reinsurance; Haezendonck risk measure; Expectation principle; Budget constraint; CVaR (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (9)

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DOI: 10.1016/j.spl.2013.01.008

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