Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures

By Jun Cai, Ken Seng Tan. ASTIN Bulletin: The Journal of the International Actuarial Association, 2007

260 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/d992231974e02dcb1b7f16870a3b8b0222fe4fa9

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Citations in the corpus

Optimal proportional reinsurance with common shock dependence (2015, background): “…(2004), and Liang and Guo (2008) focus on constructing optimal contracts that maximize the adjustment coefficient by the martingale approach; and Cai and Tan (2007), Bernard and Tian (2009), Chi and Meng (2014), and Cheung et al. (2014) investigate the optimal problem by adopting the criteria…”
Optimal reinsurance with general risk measures (2009, unknown): “5 Cai and Tan (2007) seems to be the first paper computing the optimal retention y considering the VaR and the CTE.”
Optimal Reinsurance with General Premium Principles (2013, methodology): “In this paper, we have provided some new findings and new insights to the VaR-based and CVaR-based optimal reinsurance models proposed by Cai and Tan (2007).”
VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance (2009, methodology): “4 for the existence of optimal stop-loss reinsurance is also necessary; see Cai and Tan (2007) for more details.”
Multivariate Pareto portfolios: TCE-based capital allocation and divided differences (2007, methodology): “This model was also used by Cai & Tan (2007), in the problem of optimal reinsurance.”
Optimal dynamic reinsurance with dependent risks: variance premium principle (2016, background): “Moreover, Cai & Tan (2007), Cai et al. (2008), and Bernard & Tian (2009) adopt the criteria of minimizing tail risk measures such as value at risk and conditional tail expectation.”
Optimal reinsurance under risk and uncertainty (2015, unknown): “Recent approaches are, amongst many others, Kaluszka (2005), Cai and Tan (2007) and Chi and Tan (2013).”
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.”
Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles (2013, unknown): “(9) Here 0 ≤ ai, bi ≤ 1 are arbitrary constants, the points {q+ r,g(i), q− r,g(i); i = 1, · · · , n (1) r,g} and {q̂+ r,g(i), q̂− r,g(i); i = 1, · · · , n (2) r,g} are given by equation (5), and {tr,g(i), tr,g(i); i = 1, · · · ,m((1)) r,g} and {t̂r,g(i), t̂r,g(i); i = 1, · · · ,m (2) r,g} are given ”
Optimal reinsurance under VaR and CTE risk measures (2008, methodology): “More recently, using risk measures such as the value-at-risk (VaR) and the conditional tail expectation (CTE), Cai and Tan (2007) derived explicitly the optimal retention level of a stop-loss reinsurance under the expectation premium principle.”
Optimal Reinsurance under Variance Related Premium Principles (2012, unknown): “of optimal reinsurance models with the help of a geometric approach, and extends the results in Cai et al. (2008) by studying the VaR-minimization problem with Wang’s premium principle.”
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 under VaR and CVaR Risk Measures: A Simplified Approach (2010, unknown): “In particular, Cai et al. (2008) and Cheung (2010) study the VaR and CVaR based optimal reinsurance problems under the assumption of increasing convex ceded loss functions by using approximation and convergence arguments and a geometric approach, respectively; Balbás et al.”