IDEAS home Printed from https://ideas.repec.org/a/hin/jnlmpe/3061298.html
   My bibliography  Save this article

Pareto-Optimal Reinsurance Revisited: A Two-Stage Optimisation Procedure Approach

Author

Listed:
  • Ying Fang
  • Lu Wang
  • Zhongfeng Qu

Abstract

In this paper, based on the Tail-Value-at-Risk (TVaR) measure, we revisit the Pareto-optimal reinsurance policies for the insurer and the reinsurer via a two-stage optimisation procedure. To reduce ex-post moral hazard, we assume that reinsurance contracts satisfy the principle of indemnity and the incentive compatible constraint which have been advocated by Huberman et al. (1983). We show that the Pareto-optimal reinsurance policy exists if the reinsurance premiums can be expressed as an integral form. The proposed class of premium principles encompasses the net premium principle, expected value premium principle, TVaR premium principle, generalized percentile premium principle, and so on. We further use the TVaR premium principle and the expected value premium principle as examples to illustrate the two-stage optimisation procedure by deriving explicitly the Pareto-optimal reinsurance policies. We extend the results by Cai et al. (2017) when the expected value premium principle is replaced by the TVaR premium principle.

Suggested Citation

  • Ying Fang & Lu Wang & Zhongfeng Qu, 2020. "Pareto-Optimal Reinsurance Revisited: A Two-Stage Optimisation Procedure Approach," Mathematical Problems in Engineering, Hindawi, vol. 2020, pages 1-16, September.
    • Handle: RePEc:hin:jnlmpe:3061298
    DOI: 10.1155/2020/3061298
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/MPE/2020/3061298.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/MPE/2020/3061298.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2020/3061298?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:jnlmpe:3061298. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.