Optimal reinsurance designs based on risk measures: a review
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...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2020-01-01
|
| Series: | Statistical Theory and Related Fields |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/24754269.2020.1758500 |
| _version_ | 1797677052399190016 |
|---|---|
| author | Jun Cai Yichun Chi |
| author_facet | Jun Cai Yichun Chi |
| author_sort | Jun Cai |
| collection | DOAJ |
| description | 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 different perspectives. Risk measures as tools of quantitative risk management have been extensively used in insurance and finance. Optimal reinsurance designs based on risk measures have been widely studied in the literature of insurance and become an active research topic. Different research approaches have been developed and many interesting results have been obtained in this area. These approaches and results have potential applications in future research. In this article, we review the recent advances in optimal reinsurance designs based on risk measures in static models and discuss some interesting problems on this topic for future research. |
| first_indexed | 2024-03-11T22:39:23Z |
| format | Article |
| id | doaj.art-fa3b7366291849cfbde5bbc5c0c2cae3 |
| institution | Directory Open Access Journal |
| issn | 2475-4269 2475-4277 |
| language | English |
| last_indexed | 2024-03-11T22:39:23Z |
| publishDate | 2020-01-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Statistical Theory and Related Fields |
| spelling | doaj.art-fa3b7366291849cfbde5bbc5c0c2cae32023-09-22T09:19:45ZengTaylor & Francis GroupStatistical Theory and Related Fields2475-42692475-42772020-01-014111310.1080/24754269.2020.17585001758500Optimal reinsurance designs based on risk measures: a reviewJun Cai0Yichun Chi1Department of Statistics and Actuarial Science, University of WaterlooChina Institute for Actuarial Science, Central University of Finance and EconomicsReinsurance 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 different perspectives. Risk measures as tools of quantitative risk management have been extensively used in insurance and finance. Optimal reinsurance designs based on risk measures have been widely studied in the literature of insurance and become an active research topic. Different research approaches have been developed and many interesting results have been obtained in this area. These approaches and results have potential applications in future research. In this article, we review the recent advances in optimal reinsurance designs based on risk measures in static models and discuss some interesting problems on this topic for future research.http://dx.doi.org/10.1080/24754269.2020.1758500value-at-riskconditional value-at-riskdistortion risk measureslayer reinsuranceoptimal reinsurance designs |
| spellingShingle | Jun Cai Yichun Chi Optimal reinsurance designs based on risk measures: a review Statistical Theory and Related Fields value-at-risk conditional value-at-risk distortion risk measures layer reinsurance optimal reinsurance designs |
| title | Optimal reinsurance designs based on risk measures: a review |
| title_full | Optimal reinsurance designs based on risk measures: a review |
| title_fullStr | Optimal reinsurance designs based on risk measures: a review |
| title_full_unstemmed | Optimal reinsurance designs based on risk measures: a review |
| title_short | Optimal reinsurance designs based on risk measures: a review |
| title_sort | optimal reinsurance designs based on risk measures a review |
| topic | value-at-risk conditional value-at-risk distortion risk measures layer reinsurance optimal reinsurance designs |
| url | http://dx.doi.org/10.1080/24754269.2020.1758500 |
| work_keys_str_mv | AT juncai optimalreinsurancedesignsbasedonriskmeasuresareview AT yichunchi optimalreinsurancedesignsbasedonriskmeasuresareview |