Optimal reinsurance designs based on risk measures: a review

• Published in: Statistical theory and related fields Vol. 4; no. 1; pp. 1 - 13
• Main Authors: Cai, Jun, Chi, Yichun
• Format: Journal Article
• Language: English
• Published: Taylor & Francis 02.01.2020; Taylor & Francis Group
• Subjects: conditional value-at-risk; distortion risk measures; layer reinsurance; optimal reinsurance designs; Value-at-risk

Reinsurance is an effective way for an insurance company to control its risk. How to design an optimal reinsurance contract is not only a key topic in actuarial science, but also an interesting research question in mathematics and statistics. Optimal reinsurance design problems can be proposed from...