On optimal reinsurance with stochastic premium

Abstract

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On optimal layer reinsurance model

“…The optimal ceded loss function is the one that minimizes an appropriately chosen risk measure ρ g on T f (X) under a given premium principle for the reinsurance premium π(f (X)): the ρ g -based optimal reinsurance model. The optimal reinsurance model first considered by Cai and Tan [2,3] and Chi et al [4,5] and recently generalised in [1]), is based on VaR and CVaR. The Authors considered a reinsurance premium computed under a principle satisfying three basic axioms, that is, distribution invariance, risk loading and stop-loss ordering preserving.…”