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• W2055274927 abstract "By formulating a constrained optimization model, we address the problem of optimal reinsurance design using the criterion of minimizing the conditional tail expectation (CTE) risk measure of the insurer’s total risk. For completeness, we analyze the optimal reinsurance model under both binding and unbinding reinsurance premium constraints. By resorting to the Lagrangian approach based on the concept of directional derivative, explicit and analytical optimal solutions are obtained in each case under some mild conditions. We show that pure stop-loss ceded loss function is always optimal. More interestingly, we demonstrate that ceded loss functions, that are not always non-decreasing, could be optimal. We also show that, in some cases, it is optimal to exhaust the entire reinsurance premium budget to determine the optimal reinsurance, while in other cases, it is rational to spend less than the prescribed reinsurance premium budget." @default.
• W2055274927 created "2016-06-24" @default.
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• W2055274927 date "2011-09-01" @default.
• W2055274927 modified "2023-10-16" @default.
• W2055274927 title "Optimality of general reinsurance contracts under CTE risk measure" @default.
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• W2055274927 doi "https://doi.org/10.1016/j.insmatheco.2011.03.002" @default.
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