Optimal Reinsurance Design for Pareto Optimum: From the Perspective of Multiple Reinsurers

Optimal Reinsurance Design for Pareto Optimum: From the Perspective of Multiple Reinsurers

This paper investigates optimal reinsurance strategies for an insurer which cedes the insured risk to multiple reinsurers. Assume that the insurer and every reinsurer apply the coherent risk measures. Then, we find out the necessary and sufficient conditions for the reinsurance market to achieve Par...

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Main Authors: Xing Rong, Yunzhou Zhu
Format: Article
Language:English
Published: Hindawi Limited 2016-01-01
Series:Mathematical Problems in Engineering
Online Access:http://dx.doi.org/10.1155/2016/1957016
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spelling doaj-cc5e8fb32d3749248ad9325ac29120452020-11-24T21:05:52ZengHindawi LimitedMathematical Problems in Engineering1024-123X1563-51472016-01-01201610.1155/2016/19570161957016Optimal Reinsurance Design for Pareto Optimum: From the Perspective of Multiple ReinsurersXing Rong0Yunzhou Zhu1Southwestern University of Finance and Economics, Chengdu, ChinaDepartment of Actuary, China Continent Property & Casualty Insurance Company Ltd., Shanghai, ChinaThis paper investigates optimal reinsurance strategies for an insurer which cedes the insured risk to multiple reinsurers. Assume that the insurer and every reinsurer apply the coherent risk measures. Then, we find out the necessary and sufficient conditions for the reinsurance market to achieve Pareto optimum; that is, every ceded-loss function and the retention function are in the form of “multiple layers reinsurance.”http://dx.doi.org/10.1155/2016/1957016
collection DOAJ
language English
format Article
sources DOAJ
author Xing Rong
Yunzhou Zhu
spellingShingle Xing Rong
Yunzhou Zhu
Optimal Reinsurance Design for Pareto Optimum: From the Perspective of Multiple Reinsurers
Mathematical Problems in Engineering
author_facet Xing Rong
Yunzhou Zhu
author_sort Xing Rong
title Optimal Reinsurance Design for Pareto Optimum: From the Perspective of Multiple Reinsurers
title_short Optimal Reinsurance Design for Pareto Optimum: From the Perspective of Multiple Reinsurers
title_full Optimal Reinsurance Design for Pareto Optimum: From the Perspective of Multiple Reinsurers
title_fullStr Optimal Reinsurance Design for Pareto Optimum: From the Perspective of Multiple Reinsurers
title_full_unstemmed Optimal Reinsurance Design for Pareto Optimum: From the Perspective of Multiple Reinsurers
title_sort optimal reinsurance design for pareto optimum: from the perspective of multiple reinsurers
publisher Hindawi Limited
series Mathematical Problems in Engineering
issn 1024-123X
1563-5147
publishDate 2016-01-01
description This paper investigates optimal reinsurance strategies for an insurer which cedes the insured risk to multiple reinsurers. Assume that the insurer and every reinsurer apply the coherent risk measures. Then, we find out the necessary and sufficient conditions for the reinsurance market to achieve Pareto optimum; that is, every ceded-loss function and the retention function are in the form of “multiple layers reinsurance.”
url http://dx.doi.org/10.1155/2016/1957016
work_keys_str_mv AT xingrong optimalreinsurancedesignforparetooptimumfromtheperspectiveofmultiplereinsurers
AT yunzhouzhu optimalreinsurancedesignforparetooptimumfromtheperspectiveofmultiplereinsurers
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