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首页> 外文期刊>Risks >Optimal Reinsurance Policies under the VaR Risk Measure When the Interests of Both the Cedent and the Reinsurer Are Taken into Account
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Optimal Reinsurance Policies under the VaR Risk Measure When the Interests of Both the Cedent and the Reinsurer Are Taken into Account

机译：考虑到祖先和再保险人双方利益的VaR风险度量下的最优再保险政策

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摘要

Optimal forms of reinsurance policies have been studied for a long time in the actuarial literature. Most existing results are from the insurer’s point of view, aiming at maximizing the expected utility or minimizing the risk of the insurer. However, as pointed out by Borch (1969), it is understandable that a reinsurance arrangement that might be very attractive to one party (e.g., the insurer) can be quite unacceptable to the other party (e.g., the reinsurer). In this paper, we follow this point of view and study forms of Pareto-optimal reinsurance policies whereby one party’s risk, measured by its value-at-risk (VaR), cannot be reduced without increasing the VaR of the counter-party in the reinsurance transaction. We show that the Pareto-optimal policies can be determined by minimizing linear combinations of the VaR s of the two parties in the reinsurance transaction. Consequently, we succeed in deriving user-friendly, closed-form, optimal reinsurance policies and their parameter values.
机译：精算文献中对最优形式的再保险政策进行了长期的研究。从保险人的角度来看，大多数现有结果都是为了最大程度地提高预期效用或最大程度地降低保险人的风险。但是，正如Borch（1969）所指出的那样，对于一方（例如保险人）可能非常有吸引力的再保险安排对于另一方（例如再保险人）可能是完全不能接受的，这是可以理解的。在本文中，我们遵循了这种观点，研究了帕累托最优再保险政策的形式，根据该形式，如果不提高交易对手方的风险价值，就无法降低通过其风险价值（VaR）衡量的一方风险。再保险交易。我们表明，可以通过最小化再保险交易中两方的VaR的线性组合来确定Pareto最优保单。因此，我们成功地得出了用户友好，封闭形式的最佳再保险保单及其参数值。

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