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Optimal Reinsurance with Inflation Rate under VaR Risk Measures

Author: WeiZuoJiang
Tutor: ZhangGuoZhi
School: Harbin University of Science and Technology
Course: Applied Mathematics
Keywords: mixture reinsurance risk measures VaR risk measure inflation rate retention separate ratio
CLC: F224
Type: Master's thesis
Year: 2014
Downloads: 15
Quote: 0
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Abstract


In this paper, we consider optimal reinsurance with inflation rate under VaR riskmeasures. What people most concern, in the field of reinsurance, is the relationshipbetween the self-retention risk and the reinsurance premium. The cedant hope themboth less, but, the relationship between them is contradictory, If the cedant want payless reinsurance premium, which will lead to pay less risk and undertake moreself-retention risk. Obviously, how to deal with the relationship between theself-retention risk and the reinsurance premium is the key of dealing with thereinsurance problems.Firstly, the paper introduces several prepared knowledge, including thedevelopment history of the VaR, the reinsurance, optimal reinsurance, the definitionof VaR and the classification of reinsurance. Secondly, the paper reviews some basics,such as the principle of insurance premium, the VaR risk measurement andoptimization criterion. Then, recommend some related academic research related tothe paper.On the basis of above, the paper mainly discusses the influence of optimalreinsurance made by the inflation rates of mixed reinsurance under VaR risk measure.Firstly, determine the VaR expression of mixed reinsurance in three conditions.Secondly, known the separate ratio, we give the determination of the optimal amountof retention and expression when we used expectation-principles. Further, wedetermine the specific form of unknowns and expression of VaR by use variancepremium principle under the three conditions respectively. The three conditions are:unknown amount of retention, unknown separate ratio and unknown both of them.Finally, we illustrate with examples of the above theorems and inferences.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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