Expected Shortfall风险度量下最优再保险(英文).docVIP

Expected Shortfall风险度量下最优再保险(英文) 　　AbstractTo avoid the default due to a high claim amount， the insurer usually transfers part of its risk to the reinsurer by signing a reinsurance contract. To seek the optimal reinsurance strategy， recent studies focus on minimizing variance of the retained loss， value-at-risk or conditional tail expectation of the insurer’s total risk exposure. This note studies the reinsurance strategy under the expected shortfall criterion. We build the optimal increasing and convex ceded loss function， both cases without and with the constraint of premium are discussed. 　　Key wordsCeded loss； Premium principle； Quota-share strategy； Stop-loss strategy 　　CLC numberO 212Document codeA 　　1Introduction 　　To avoid paying for a high claim amount， the insurer transfers part of its risk to the reinsurer by signing a reinsurance contract. Let the random loss X≥0 due to an insurance claim be with distribution function F（x） = Pr{X≤x} and survival function S（x） = Pr{X x}. Intuitively， as some loss is transferred to the reinsurer， the ceded loss r（X） should be nonnegative and never exceed the initial risk， i.e.， the ceded loss function satisfies 0≤r（x）≤x for all x≥0. Correspondingly， the retained loss of the insurer isˉr（X） = X？r（X）. The reinsurer undertakes a portion of loss for the insurer， in return， the insurer has to pay reinsurance premiumπr（X） to the reinsurer in correspondence to the ceded loss function r. Then， the insurer gets the total risk exposure Tr（X） =ˉr（X） +πr（X） = X？r（X） +πr（X）. 　　Naturally， it is of interest to seek the optimal reinsurance strategy in the context of certain criterion on loss and a specific premium principle. For example， under the criterion of minimizing the variance of the retained loss and the standard deviation premium principle， Gajek and Zagrodny[3]demonstrated that change loss reinsurance contract is optimal subject to the condition that the premium is not larger than a given amount， and for the premium prin