English, Article edition: Optimal reinsurance with general risk measures Balbás, Alejandro; Balbás, Beatriz; Heras, Antonio

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Optimal reinsurance with general risk measures
Author
  • Balbás, Alejandro
  • Balbás, Beatriz
  • Heras, Antonio
Physical Description
  • article
Notes
  • This paper studies the optimal reinsurance problem when risk is measured by a general risk measure. Necessary and sufficient optimality conditions are given for a wide family of risk measures, including deviation measures, expectation bounded risk measures and coherent measures of risk. The optimality conditions are used to verify whether the classical reinsurance contracts (quota-share, stop-loss) are optimal essentially, regardless of the risk measure used. The paper ends by particularizing the findings, so as to study in detail two deviation measures and the conditional value at risk.
  • Optimal reinsurance Risk measure and deviation measure Optimality conditions
  • RePEc:eee:insuma:v:44:y:2009:i:3:p:374-384
Language
  • English
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