previous article in this issue | next article in this issue |
Document Details : Title: Optimal Reinsurance Revisited Subtitle: A Geometric Approach Author(s): CHEUNG, Ka Chun Journal: ASTIN Bulletin Volume: 40 Issue: 1 Date: 2010 Pages: 221-239 DOI: 10.2143/AST.40.1.2049226 Abstract : In this paper, we reexamine the two optimal reinsurance problems studied in Cai et al. (2008), in which the objectives are to find the optimal reinsurance contracts that minimize the value-at-risk (VaR) and the conditional tail expectation (CTE) of the total risk exposure under the expectation premium principle. We provide a simpler and more transparent approach to solve these problems by using intuitive geometric arguments. The usefulness of this approach is further demonstrated by solving the VaR-minimization problem when the expectation premium principle is replaced by Wang’s premium principle. |