Optimal reinsurance under VaR and CTE risk measures

By Jun Cai, Ken Seng Tan, Chengguo Weng, Yi Zhang. 2008

276 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/610401f47d8f757c2bddb579598030f4127feb51

How researchers see this paper

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

In Economics and Econometrics

1. Yichun Chi
2. Jun Cai
3. Ken Seng Tan
4. Chengguo Weng
5. Yi Zhang
6. Ka Chun Cheung
7. Yipeng Yang
8. Jingyi Zhang

In Management Science and Operations Research

1. Yichun Chi
2. Jun Cai
3. Ken Seng Tan
4. Chengguo Weng
5. Yi Zhang
6. Ka Chun Cheung
7. Yipeng Yang
8. Jingyi Zhang

Citations in the corpus

• Optimal Reinsurance with General Premium Principles (2013, unknown): “Moreover, C strictly contains the set of increasing convex ceded loss functions over which the optimal reinsurance problems are studied in Cai et al. (2008) and Cheung (2010). When an insurer cedes part of its risk to a reinsurer under a typical reinsurance arrangement, the insurer incurs an additio”
• Optimal Reinsurance under Variance Related Premium Principles (2012, unknown): “However, the above inequality is an identity when FX (x) is continuous and strictly increasing with a possible jump at 0 as assumed by Cai et al. (2008). See also Rockafellar and Uryasev (2002) formore details on the relationship between CVaR and CTE.”
• Optimal Reinsurance under VaR and CVaR Risk Measures: A Simplified Approach (2010, methodology): “Although the results in the above theorem have already been derived by Cai et al. (2008), here we emphasize two important distinctions.”
• Optimal Reinsurance Revisited – A Geometric Approach (2010, methodology): “No matter what the risk tolerance level is, it is always optimal to 1 The minimum value stated in Theorem 4.1 of Cai et al. ( 2008 ) was mistyped as u( r*).”
• Optimality of general reinsurance contracts under CTE risk measure (2011, methodology): “Cai and Tan (2007), Cai et al. (2008) and Tan andWeng (2010) derived the optimal reinsurance treaties under the strict definition of VaR and CTE.”
• Optimal reinsurance designs based on risk measures: a review (2020, methodology): “The optimal reinsurance models in Cai and Tan (2007) are extended by Cai et al. (2008) to study a more general class of ceded loss functions.”
• Constant elasticity of variance model for proportional reinsurance and investment strategies (2010, background): “Reinsurance ensures that the insurer’s earnings remain relatively stable or to protect the insurer against potentially large losses (Cai et al., 2008), while investment enables that the insurer achieves its management objectives.”
• Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles (2013, unknown): “j=1 (ŝr,g(j), ŝ + r,g(j)] (6) and Ωr,g = m (1) r,g ⋃”
• VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance (2009, methodology): “Earlier contributions include Gerber (1979), Waters (1983), Pesonen (1984), Goovaerts et al. (1989, 1990), Borch (1990), and Hesselager (1990) and more recently Gajek and Zagrodny (2000, 2004), Kaluszka (2001, 2005), Cai and Tan (2007), and Cai et al. (2008), among others.”