AN INCLUSIVE CRITERION FOR AN OPTIMAL CHOICE OF REINSURANCE
| Autor: | El Attar Abderrahim, El Hachloufi Mostafa, Guennoun Zine El Abidine |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Reinsurance
Economics and Econometrics Mathematical optimization 050208 finance Augmented Lagrangian method Computer science Risk measure 05 social sciences Variance (accounting) 01 natural sciences Constraint (information theory) Set (abstract data type) 010104 statistics & probability Order (exchange) 0502 economics and business 0101 mathematics Business and International Management Finance |
| Zdroj: | Annals of Financial Economics. 12:1750018 |
| ISSN: | 2010-4960 2010-4952 |
| DOI: | 10.1142/s201049521750018x |
| Popis: | In this paper, we propose an inclusive model which allows to improve the results obtained in the literature with regard to the criteria set by the insurers such as, maximizing the expected technical benefit under the variance constraint (mean-variance), minimizing the probability of ruin and minimizing risk measures. In this model, we determine the optimal reinsurance treaty parameter that minimizes both the risk and the probability of ruin (by maximizing the Lundberg adjustment coefficient) under the constraint of the technical benefit which must also be maximal, based on the conditional tail variance (CTV) risk measure. Thus, we have developed an optimization procedure based on the augmented Lagrangian and genetic algorithms, in order to solve the optimization program of this model. |
| Databáze: | OpenAIRE |
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