英文标题：
《A unifying approach to constrained and unconstrained optimal reinsurance》
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作者：
Yuxia Huang, Chuancun Yin
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最新提交年份：
2018
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英文摘要：
  In this paper, we study two classes of optimal reinsurance models from perspectives of both insurers and reinsurers by minimizing their convex combination where the risk is measured by a distortion risk measure and the premium is given by a distortion premium principle. Firstly, we show that how optimal reinsurance models for the unconstrained optimization problem and constrained optimization problems can be formulated in a unified way. Secondly, we propose a geometric approach to solve optimal reinsurance problems directly. This paper considers a class of increasing convex ceded loss functions and derives the explicit solutions of the optimal reinsurance which can be in forms of quota-share, stop-loss, change-loss, the combination of quota-share and change-loss or the combination of change-loss and change-loss with different retentions. Finally, we consider two specific cases: Value at Risk (VaR) and Tail Value at Risk (TVaR).
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中文摘要：
在本文中，我们从保险人和再保险人的角度研究了两类最优再保险模型，通过最小化它们的凸组合，其中风险由扭曲风险测度度量，保费由扭曲保费原则给出。首先，我们展示了如何将无约束优化问题和约束优化问题的最优再保险模型统一起来。其次，我们提出了一种直接求解最优再保险问题的几何方法。本文考虑了一类递增凸分保损失函数，导出了最优再保险的显式解，其形式可以是配额份额、止损、变动损失、配额份额与变动损失的组合或变动损失与变动损失在不同保留率下的组合。最后，我们考虑两种具体情况：风险价值（VaR）和尾部风险价值（TVaR）。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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