| Title | Optimal allocation of policy limits in layer reinsurance treaties |
| Author | |
| Corresponding Author | Zhang, Yiying |
| Publication Years | 2022-11-01
|
| DOI | |
| Source Title | |
| ISSN | 0269-9648
|
| EISSN | 1469-8951
|
| Abstract | Layer reinsurance treaty is a common form obtained in the problem of optimal reinsurance design. In this paper, we study allocations of policy limits in layer reinsurance treaties with dependent risks. We investigate the effects of orderings and heterogeneity among policy limits on the expected utility functions of the terminal wealth from the viewpoint of risk-averse insurers faced with right tail weakly stochastic arrangement increasing losses. Orderings on optimal allocations are presented for normal layer reinsurance contracts under certain conditions. Parallel studies are also conducted for randomized layer reinsurance contracts. As a special case, the worst allocations of policy limits are also identified when the exact dependence structure among the losses is unknown. Numerical examples are presented to shed light on the theoretical findings. |
| Keywords | |
| URL | [Source Record] |
| Indexed By | |
| Language | English
|
| SUSTech Authorship | Corresponding
|
| Funding Project | [11871252]
|
| WOS Research Area | Engineering
; Operations Research & Management Science
; Mathematics
|
| WOS Subject | Engineering, Industrial
; Operations Research & Management Science
; Statistics & Probability
|
| WOS Accession No | WOS:000889743200001
|
| Publisher | |
| Data Source | Web of Science
|
| Citation statistics |
Cited Times [WOS]:0
|
| Document Type | Journal Article |
| Identifier | http://kc.sustech.edu.cn/handle/2SGJ60CL/417090 |
| Department | Department of Mathematics |
| Affiliation | 1.Jiangsu Normal Univ, Sch Math & Stat, Jiangsu Prov Key Lab Educ Big Data Sci & Engn, Xuzhou 221116, Peoples R China 2.Southern Univ Sci & Technol, Dept Math, Shenzhen 518055, Peoples R China |
| Corresponding Author Affilication | Department of Mathematics |
| Recommended Citation GB/T 7714 |
Wang, Chuchu,Wang, Wei,Zhang, Yiying,et al. Optimal allocation of policy limits in layer reinsurance treaties[J]. PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES,2022.
|
| APA |
Wang, Chuchu,Wang, Wei,Zhang, Yiying,&Zhao, Peng.(2022).Optimal allocation of policy limits in layer reinsurance treaties.PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES.
|
| MLA |
Wang, Chuchu,et al."Optimal allocation of policy limits in layer reinsurance treaties".PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES (2022).
|
| Files in This Item: | There are no files associated with this item. | |||||
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