Optimal Reinsurance Issue Under A New Risk Measure

With the development of insurance industry, insurance companies are faced with potentially finance risk at the same time they are gaining profit. In order to keep stable, they will always tend to spread their risks by reinsurance, which means to give up a certain profit in return for safety. However, different risk measures and profit models will lead to different selections of optimal reinsurance. In view of this, the paper generates new risk models from the recent Generalized Expectile risk measure, and discusses optimal reinsurance issue based on it, trying to give a new choice for both insurance companies and reinsurance companies for their common interest.First of all, the paper discusses different kinds of risk models and pricing models under coherent principles, as well as pointing out their advantages and disadvantages in reality. And then, it introduces the recent new Generalized Expectile risk measure from the point of Dutch risk measure, giving out some new risk models generated from it and their specific details both in theory and in practice. At last, the paper discusses optimal reinsurance issue under the new model and compares the result with those under VaR and CTE. The job is pioneering for pointing out a new way of better risk management, especially for those who need reinsurance.