Optimal reinsurance policy under a new distortion risk measure

Dan Zhu and Chuancun Yin

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 12, 4151-4164

Abstract: Distortion risk measures play an essential role in the fields of finance and risk management. In this paper, we present a new distortion risk measure with mixed methods. We then investigate the optimal reinsurance problem under the new risk measure and the closed-form solutions of optimal reinsurance policies are obtained. As special cases of the new distortion risk measure, VaR and GlueVaR are considered in the application of risk management.

Date: 2023
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DOI: 10.1080/03610926.2021.1986538

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