Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles

@article{Cui2013OptimalRM,
  title={Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles},
  author={W. Cui and J. Yang and L. Wu},
  journal={Insurance Mathematics & Economics},
  year={2013},
  volume={53},
  pages={74-85}
}
  • W. Cui, J. Yang, L. Wu
  • Published 2013
  • Economics
  • Insurance Mathematics & Economics
  • Recently the optimal reinsurance strategy concerning the insurer’s risk attitude and the reinsurance premium principle has been an interesting topic. This paper discusses the optimal reinsurance problem with the insurer’s risk measured by distortion risk measure and the reinsurance premium calculated by a general principle including expected premium principle and Wang’s premium principle as its special cases. Explicit solutions of the optimal reinsurance strategy are obtained under the… CONTINUE READING
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