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• W2587736478 abstract "Optimal forms of reinsurance policies have been studied for a long time in the actuarial literature. Most existing results are from the insurer’s point of view, aiming at maximizing the expected utility or minimizing the risk of the insurer. However, as pointed out by Borch (1969), it is understandable that a reinsurance arrangement that might be very attractive to one party (e.g., the insurer) can be quite unacceptable to the other party (e.g., the reinsurer). In this paper, we follow this point of view and study forms of Pareto-optimal reinsurance policies whereby one party’s risk, measured by its value-at-risk (VaR), cannot be reduced without increasing the VaR of the counter-party in the reinsurance transaction. We show that the Pareto-optimal policies can be determined by minimizing linear combinations of the VaR s of the two parties in the reinsurance transaction. Consequently, we succeed in deriving user-friendly, closed-form, optimal reinsurance policies and their parameter values." @default.
• W2587736478 created "2017-02-17" @default.
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• W2587736478 date "2017-02-05" @default.
• W2587736478 modified "2023-10-16" @default.
• W2587736478 title "Optimal Reinsurance Policies under the VaR Risk Measure When the Interests of Both the Cedent and the Reinsurer Are Taken into Account" @default.
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• W2587736478 doi "https://doi.org/10.3390/risks5010011" @default.
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