南方科技大学知识苑(SUSTech KC): Bowley solution under the reinsurer's default risk

题名	Bowley solution under the reinsurer's default risk
作者	Chen，Yanhong 1; Cheung，Ka Chun 2; Zhang，Yiying3
通讯作者	Zhang，Yiying
发表日期	2024-03-01
DOI	10.1016/j.insmatheco.2024.01.002
发表期刊	Insurance: Mathematics and Economics 影响因子和分区
ISSN	0167-6687
卷号	115页码:36-61
摘要	In this paper, we examine how a monopolistic reinsurer designs a Bowley reinsurance contract, under the assumption that the reinsurer will default on payment if the compensated loss exceeds the sum of the initial capital and the premium charged from the contract. The problem is divided into two subproblems faced by the insurer and the reinsurer in turn. The optimal reinsurance contract is analyzed when both the insurer and the reinsurer minimize their retained risks, as quantified by the VaR measure, and the optimal ceded loss function and the optimal pricing function are provided. Explicit expressions are then derived when the reinsurer adopts either VaR- or TVaR-based regulation capital and charges premiums by the expected-value premium principle. Numerical examples using exponential and Pareto distributions are provided to illustrate the sensitivity effect generated by the confidence levels of the VaR for both parties, as well as those for the initial capitals on the set of Bowley reinsurance contracts.
关键词	Bowley solution Default risk Expected-value premium principle Optimal reinsurance TVaR VaR
相关链接	[Scopus记录]
收录类别	SCI ; SSCI
语种	英语
学校署名	通讯
ESI学科分类	ECONOMICS BUSINESS
Scopus记录号	2-s2.0-85182687829
来源库	Scopus
引用统计	被引频次[WOS]：1
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/701399
专题	理学院_数学系
作者单位	1.College of Finance and Statistics,Hunan University,Changsha,410082,China 2.Department of Statistics and Actuarial Science,The University of Hong Kong,Pokfulam Road,Hong Kong 3.Department of Mathematics,Southern University of Science and Technology,Shenzhen,518055,China
通讯作者单位	数学系
推荐引用方式 GB/T 7714	Chen，Yanhong,Cheung，Ka Chun,Zhang，Yiying. Bowley solution under the reinsurer's default risk[J]. Insurance: Mathematics and Economics,2024,115:36-61.
APA	Chen，Yanhong,Cheung，Ka Chun,&Zhang，Yiying.(2024).Bowley solution under the reinsurer's default risk.Insurance: Mathematics and Economics,115,36-61.
MLA	Chen，Yanhong,et al."Bowley solution under the reinsurer's default risk".Insurance: Mathematics and Economics 115(2024):36-61.