期刊
SCANDINAVIAN ACTUARIAL JOURNAL
卷 -, 期 7, 页码 624-645出版社
TAYLOR & FRANCIS LTD
DOI: 10.1080/03461238.2014.994025
关键词
reinsurance; risk measure; expectile; coherent; elicitable; premium principle; actuarial reserve; risk margin; liability
类别
资金
- Natural Sciences and Engineering Research Council of Canada (NSERC)
- Society of Actuaries Centers of Actuarial Excellence Research Grant
In this paper, we study optimal reinsurance treaties that minimize the liability of an insurer. The liability is defined as the actuarial reserve on an insurer's risk exposure plus the risk margin required for the risk exposure. The riskmargin is determined by the risk measure of expectile. Among a general class of reinsurance premium principles, we prove that a two-layer reinsurance treaty is optimal. Furthermore, if a reinsurance premium principle in the class is translation invariant or is the expected value principle, we show that a one-layer reinsurance treaty is optimal. Moreover, we use the expected value premium principle and Wang's premium principle to demonstrate how the parameters in an optimal reinsurance treaty can be determined explicitly under a given premium principle.
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