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OPTIMAL REINSURANCE DESIGN WITH DISTORTION RISK MEASURES AND ASYMMETRIC INFORMATION
ASTIN Bulletin: The Journal of the IAA ( IF 1.7 ) Pub Date : 2021-03-29 , DOI: 10.1017/asb.2021.8
Tim J. Boonen , Yiying Zhang

This paper studies a problem of optimal reinsurance design under asymmetric information. The insurer adopts distortion risk measures to quantify his/her risk position, and the reinsurer does not know the functional form of this distortion risk measure. The risk-neutral reinsurer maximizes his/her net profit subject to individual rationality and incentive compatibility constraints. The optimal reinsurance menu is succinctly derived under the assumption that one type of insurer has a larger willingness to pay than the other type of insurer for every risk. Some comparative analyses are given as illustrations when the insurer adopts the value at risk or the tail value at risk as preferences.



中文翻译:

具有畸变风险措施和不对称信息的最佳再保险设计

本文研究了信息不对称下的最优再保险设计问题。保险公司采用失真风险度量来量化他/她的风险状况,而再保险人不知道该失真风险度量的功能形式。在个人理性和激励相容性约束的约束下,风险中立的再保险公司可以最大限度地提高其净利润。最佳再保险菜单是在一种保险人对每种风险都比另一种保险人有更大的支付意愿的前提下得出的。当保险公司采用风险价值或风险尾值作为偏好时,给出了一些比较分析作为例证。

更新日期:2021-05-18
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