| Autor: |
Tim J. Boonen |
| Jazyk: |
angličtina |
| Rok vydání: |
2016 |
| Předmět: |
|
| Zdroj: |
Risks, Vol 4, Iss 3, p 26 (2016) |
| Druh dokumentu: |
article |
| ISSN: |
2227-9091 |
| DOI: |
10.3390/risks4030026 |
| Popis: |
This paper studies the problem of optimal reinsurance contract design. We let the insurer use dual utility, and the premium is an extended Wang’s premium principle. The novel contribution is that we allow for heterogeneity in the beliefs regarding the underlying probability distribution. We characterize layer-reinsurance as an optimal reinsurance contract. Moreover, we characterize layer-reinsurance as optimal contracts when the insurer faces costs of holding regulatory capital. We illustrate this in cases where both firms use the Value-at-Risk or the conditional Value-at-Risk. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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