Risk-adjusted Bowley reinsurance under distorted probabilities

By Ka Chun Cheung, Sheung Chi Phillip Yam, Yiying Zhang. Insurance, Mathematics & Economics, 2019

50 citations recorded by the source corpus.

In the seminal work of Chan and Gerber (1985), one of the earliest game theoretical approaches was proposed to model the interaction between the reinsurer and insurer; in particular, the optimal pricing density for the reinsurer and optimal ceded loss for the insurer were determined so that their corresponding expected utilities could be maximized. Over decades, their advocated Bowley solution (could be understood as Stackelberg equilibria) concept of equilibrium reinsurance strategy has not been revisited in the modern risk management framework. In this article, we attempt to fill this gap by extending their work to the setting of general premium principle for the reinsurer and distortion risk measure for the insurer.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/186ca05d7d8d6cfe421a14e3ea44d4f7451193ec

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Yichun Chi
2. Jun Cai
3. Jon A. Wellner
4. Fadoua Balabdaoui

In Economics and Econometrics

1. Yichun Chi
2. Jun Cai
3. Ken Seng Tan
4. Chengguo Weng
5. Yi Zhang

In Management Science and Operations Research

1. Yichun Chi
2. Jun Cai
3. Ken Seng Tan
4. Qihe Tang
5. Chengguo Weng
6. Yi Zhang
7. Fadoua Balabdaoui
8. Jon A. Wellner

Citations in the corpus

• Optimal reinsurance designs based on risk measures: a review (2020, background): “Surprisingly, they obtain the similar results to Chi (2012b) in favour of one-layer or two-layer reinsurance, irrespectively of the dependence structure and the premium principle.”