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VAR AND CTE BASED OPTIMAL REINSURANCE FROM A REINSURER'S PERSPECTIVE

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摘要 In this article,we study optimal reinsurance design.By employing the increasing convex functions as the admissible ceded loss functions and the distortion premium principle,we study and obtain the optimal reinsurance treaty by minimizing the VaR(value at risk)of the reinsurer's total risk exposure.When the distortion premium principle is specified to be the expectation premium principle,we also obtain the optimal reinsurance treaty by minimizing the CTE(conditional tail expectation)of the reinsurer's total risk exposure.The present study can be considered as a complement of that of Cai et al.[5].
作者 Tao TAN Tao CHEN Lijun WU Yuhong SHENG Yijun HU 谭涛;陈陶;吴黎军;盛玉红;胡亦钧(College of Mathematics and System Science,Xinjiang University,Urumqi,Xinjiang 830046,China;School of Mathematics and Statistics,Wuhan University,Wuhan 430072,China)
出处 《Acta Mathematica Scientia》 SCIE CSCD 2020年第6期1915-1927,共13页 数学物理学报(B辑英文版)
基金 the Natural Science Foundation of Xinjiang Province(2018D01C074) the National Natural Science Foundation of China(11861064,11771343,61563050)。
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