Affiliation:
1. School of Finance, Jiangxi University of Finance and Economics, Nanchang 330013, Jiangxi, China
Abstract
In this study, we take the conditional tail expectation (CTE) as the constraint condition and consider the optimal reinsurance issues under Wang’s premium principle in general insurance contracts. With the confidence level and the distortion function in Wang’s premium principle given by the insurer in advance, a threshold can be obtained. When the insurer’s risk tolerance level is greater than this value, the optimal reinsurance is a proportional reinsurance in which the deductible equals to this value, else the optimal form of reinsurance is a stop-loss reinsurance. Corresponding numerical examples and economic explanations are also given.
Funder
National Natural Science Foundation of China
Subject
General Engineering,General Mathematics
Cited by
2 articles.
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