this issue
previous article in this issuenext 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.