IDEAS home Printed from https://ideas.repec.org/a/gam/jmathe/v10y2022i19p3662-d934831.html
   My bibliography  Save this article

Designing of Optimal Reinsurance Indemnity

Author

Listed:
  • Viktorija Skvarciany

    (Institute of Dynamic Management, Vilnius Gediminas Technical University, 10223 Vilnius, Lithuania)

  • Indrė Lapinskaitė

    (Institute of Dynamic Management, Vilnius Gediminas Technical University, 10223 Vilnius, Lithuania)

Abstract

This paper contributes to relevant research in the area of optimal reinsurance indemnity and deals with the risk measures that are used in reinsurance. The research aims at finding optimal reinsurance contracts under different risk levels. The paper has demonstrated that the method of calculating the indemnity of the reinsurance contract discussed in the aforementioned article—the reduction of the square of excess of loss—can be generalised and is valid in all instances where p ∈ (0; 1) ∪ (1; +∞). The results could be useful for the insurance companies calculating indemnities for different cases, as they could state the degrees that fit their needs most.

Suggested Citation

  • Viktorija Skvarciany & Indrė Lapinskaitė, 2022. "Designing of Optimal Reinsurance Indemnity," Mathematics, MDPI, vol. 10(19), pages 1-8, October.
    • Handle: RePEc:gam:jmathe:v:10:y:2022:i:19:p:3662-:d:934831
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/2227-7390/10/19/3662/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/2227-7390/10/19/3662/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Carole Bernard & Weidong Tian, 2009. "Optimal Reinsurance Arrangements Under Tail Risk Measures," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 709-725, September.
    2. Chi, Yichun & Tan, Ken Seng, 2013. "Optimal reinsurance with general premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 180-189.
    3. Li, Peng & Zhou, Ming & Yao, Dingjun, 2022. "Optimal time for the excess of loss reinsurance with fixed costs," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 466-475.
    4. Cai, Jun & Tan, Ken Seng, 2007. "Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures," ASTIN Bulletin, Cambridge University Press, vol. 37(1), pages 93-112, May.
    5. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2009. "Optimal reinsurance with general risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 374-384, June.
    6. Kaluszka, Marek, 2001. "Optimal reinsurance under mean-variance premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 28(1), pages 61-67, February.
    7. Kaluszka, Marek, 2005. "Optimal reinsurance under convex principles of premium calculation," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 375-398, June.
    8. Chi, Yichun, 2012. "Optimal reinsurance under variance related premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 310-321.
    9. Shaoyong Hu & Xingguo Hu & Jun Hu, 2021. "The Optimal Reinsurance Strategy under Conditional Tail Expectation (CTE) and Wang’s Premium Principle," Mathematical Problems in Engineering, Hindawi, vol. 2021, pages 1-6, May.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jianfa Cong & Ken Tan, 2016. "Optimal VaR-based risk management with reinsurance," Annals of Operations Research, Springer, vol. 237(1), pages 177-202, February.
    2. Jianfa Cong & Ken Seng Tan, 2016. "Optimal VaR-based risk management with reinsurance," Annals of Operations Research, Springer, vol. 237(1), pages 177-202, February.
    3. Lu, ZhiYi & Meng, LiLi & Wang, Yujin & Shen, Qingjie, 2016. "Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer’s risk limit," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 92-100.
    4. Cui, Wei & Yang, Jingping & Wu, Lan, 2013. "Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 74-85.
    5. Mi Chen & Wenyuan Wang & Ruixing Ming, 2016. "Optimal Reinsurance Under General Law-Invariant Convex Risk Measure and TVaR Premium Principle," Risks, MDPI, vol. 4(4), pages 1-12, December.
    6. Alejandro Balbas & Beatriz Balbas & Raquel Balbas, 2013. "Optimal Reinsurance: A Risk Sharing Approach," Risks, MDPI, vol. 1(2), pages 1-12, August.
    7. Chi, Yichun & Weng, Chengguo, 2013. "Optimal reinsurance subject to Vajda condition," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 179-189.
    8. Zhu, Yunzhou & Chi, Yichun & Weng, Chengguo, 2014. "Multivariate reinsurance designs for minimizing an insurer’s capital requirement," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 144-155.
    9. Chi, Yichun, 2012. "Optimal reinsurance under variance related premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 310-321.
    10. Chi, Yichun & Tan, Ken Seng, 2013. "Optimal reinsurance with general premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 180-189.
    11. Albrecher, Hansjörg & Cani, Arian, 2019. "On randomized reinsurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 67-78.
    12. Nanjun ZHU & Yulin FENG, 2017. "Optimal Change-Loss Reinsurance Contract Design under Tail Risk Measures for Catastrophe Insurance," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(4), pages 225-242.
    13. Tan, Ken Seng & Weng, Chengguo & Zhang, Yi, 2011. "Optimality of general reinsurance contracts under CTE risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 175-187, September.
    14. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2011. "Stable solutions for optimal reinsurance problems involving risk measures," European Journal of Operational Research, Elsevier, vol. 214(3), pages 796-804, November.
    15. Cheung, K.C. & Chong, W.F. & Yam, S.C.P., 2015. "Convex ordering for insurance preferences," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 409-416.
    16. Guerra, Manuel & Centeno, M.L., 2012. "Are quantile risk measures suitable for risk-transfer decisions?," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 446-461.
    17. Chi, Yichun & Liu, Fangda, 2017. "Optimal insurance design in the presence of exclusion clauses," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 185-195.
    18. Zheng, Yanting & Cui, Wei, 2014. "Optimal reinsurance with premium constraint under distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 109-120.
    19. Hirbod Assa, 2014. "On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums," Papers 1406.2950, arXiv.org.
    20. Yuxia Huang & Chuancun Yin, 2018. "A unifying approach to constrained and unconstrained optimal reinsurance," Papers 1807.06892, arXiv.org.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jmathe:v:10:y:2022:i:19:p:3662-:d:934831. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.