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Optimal Self-retention Proportion For A Quota-Share Reinsurance Under The VaR And CTE Risk Measures

Posted on:2009-06-07Degree:MasterType:Thesis
Country:ChinaCandidate:L L ZhengFull Text:PDF
GTID:2189360242484732Subject:Probability theory and mathematical statistics
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In the field of reinsurance, what people most concern is the relationship between the self-retention risk and the reinsurance premium. As we all know, every insurance company expects a lower self-retention risk with a lower degree of reinsurance premium. However, the two factors restrict each other. That is to say, when enjoying lower self-retention risk, the insurance company has to bear greater reinsurance premium. Therefore, how to deal with the relationship between them becomes the main work to be researched when the reinsurance exists.Firstly, the paper introduces the definition of the reinsurance, some expressions of it, as well as premium principle and it's properties. After reviewing some risk measures such as Risk Mean-Variance Measure , VaR Risk Measure and CTE Risk Measure, we introduce their optimization criterion and analyze their origin and characteristic separately, especially VaR Risk Measure and CTE Risk Measure. VaR Risk Measure is raised by Group G30 when they published a report "Practices and Rules of Derivative Commodity" which based on derivatives commodity research in 1993. VaR and CTE Risk Measure is a new improved risk measure method in order to overcome the limitation of VaR Risk Measure. Chapter3 presents relevant theorems about stop loss reinsurance's optimal retention which under VaR and CTE Risk Measure as well as the corresponding optimal criterion, when premium principle adopts expected value principle.On the basis of chapter3, chapter4 gives and proves the necessary and sufficient conditions of optimal self-retention proportion existing, when quota-share reinsurance is under VaR and CTE Risk Measure ,using variance principle to calculate reinsurance premium. Furthermore, that gives the expression form of optimal self-retention proportion when it exists. Then we know while risk tolerance level is given,it just only depends on the assumptive loss distribution functions and additional premium factors of reinsurance company to express optimal self-retention proportion of quota-sharereinsurance und er VaR and CTE Risk Measure; and we can also get that optimal self-retention proportion under CTE Risk Measure is less than it under VaR Risk Measure.
Keywords/Search Tags:Quota-Share reinsurance, Value-at-risk, Conditional tail exp ectation, Optimal Self-retetion Proportion
PDF Full Text Request
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