Optimal Reinsurance with General Risk Measures Articles uri icon

publication date

  • June 2009

start page

  • 374

end page

  • 384

issue

  • 3

volume

  • 44

international standard serial number (ISSN)

  • 0167-6687

electronic international standard serial number (EISSN)

  • 1873-5959

abstract

  • 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.