Restricted Optimal Retention in Stop-Loss Reinsurance under VaR Risk Measure

机译：VaR风险度量下止损再保险的最佳最优保留

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In this paper we study the problem of existence of the restricted optimal retention in a stop-loss reinsurance. We use an optimization criterion based on minimizing VaR risk measure. We establish necessary and sufficient conditions for the existence of the optimal retention and we derive the analytical form of the optimal retention and of the corresponding VaR risk measure. The solution obtained extends the results of [3] and [8]. The results obtained are illustrated using simulations. Computational results are provided.

机译：在本文中，我们研究了止损再保险中存在受限的最优保留问题。我们使用基于最小化VaR风险度量的优化标准。我们为最佳保留的存在建立了必要和充分的条件，并得出了最佳保留和相应的VaR风险度量的分析形式。获得的解决方案扩展了[3]和[8]的结果。使用仿真说明了获得的结果。提供了计算结果。

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来源
《Mathematical methods, computational techniques, intelligent systems》|2010年|p.143-145|共3页
会议地点 Kantaoui(TN);Kantaoui(TN)
作者
VASILE PREDA; SILVIA DEDU; ROXANA CIUMARA;
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作者单位

Faculty of Mathematics and Computer Science University of Bucharest Academiei Street 14, 010014 Bucharest ROMANIA;

Department of Mathematics Academy of Economic Studies Calea Dorobantilor 15-17, 0105724 Bucharest ROMANIA;

Department of Mathematics Academy of Economic Studies Calea Dorobantilor 15-17, 0105724 Bucharest ROMANIA;

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会议组织
原文格式 PDF
正文语种 eng
中图分类计算技术、计算机技术;
关键词
- risk measure; reinsurance; optimization; retention; Value-at-Risk;

机译：-风险衡量；再保险优化;保留;风险价值;

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1. Optimal Stop-Loss Reinsurance Under the VaR and CTE Risk Measures: Variable Transformation Method [J] . Du Junhong, Li Zhiming, Wu Lijun Computational economics . 2019,第3期

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机译：VaR，TVaR和CTE风险衡量下的最佳有限止损再保险
4. Restricted Optimal Retention in Stop-Loss Reinsurance under VaR Risk Measure [C] . VASILE PREDA, SILVIA DEDU, ROXANA CIUMARA WSEAS International Conference on Mathematical Methods, Computational Techniques and Intelligent Systems . 2010

机译：在var风险衡量下限制在止损再保险中的最佳保留
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7. Optimal Limited Stop-Loss Reinsurance under VaR, TVaR, and CTE Risk Measures [O] . Xianhua Zhou, Huadong Zhang, Qingquan Fan 2015

机译：VAR，TVAR和CTE风险措施下最佳限定止损再保险

Restricted Optimal Retention in Stop-Loss Reinsurance under VaR Risk Measure

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