On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums

@article{Assa2014OnOR,
  title={On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums},
  author={H. Assa},
  journal={Risk Management eJournal},
  year={2014}
}
  • H. Assa
  • Published 2014
  • Economics, Mathematics
  • Risk Management eJournal
  • In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk measure and the premium is given by a distortion risk premium. First, we show how the optimal reinsurance design for the ceding company, the reinsurance company and the social planner can be formulated in the same way. Second, by introducing the “marginal indemnification functions”, we characterize the optimal reinsurance contracts. We show that, for an optimal policy, the… CONTINUE READING
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