TY - GEN
T1 - Tail risk measures-based optimal reinsurance model for quota-share reinsurance
AU - Sari, Suci Fratama
AU - Syuhada, Khreshna I.A.
N1 - Funding Information:
This research was supported by Student Activity Support from Faculty of Mathematics and Natural Sciences, Institut Teknologi Bandung, Indonesia.
Publisher Copyright:
© 2022 Author(s).
PY - 2022/6/16
Y1 - 2022/6/16
N2 - Optimal reinsurance model becomes a popular research area in both academicians and practitioners. Essentially, an optimal reinsurance model is to determine the optimal partitioning of a risk between insurer and reinsurer. In this research, the structure of optimal reinsurance is from the insurer's perspective. Reinsurance is an insurance for the insurers. Meanwhile, the insurer's risk are determined by some tail risk measures, such as Value-at-Risk (VaR), Tail VaR (TVaR), and Modified Tail VaR (MTVaR). We propose parametric and non-parametric estimators of these risk measures. To illustrate the applicability of our results, we derive the optimal reinsurance explicitly for Quota-share reinsurance.
AB - Optimal reinsurance model becomes a popular research area in both academicians and practitioners. Essentially, an optimal reinsurance model is to determine the optimal partitioning of a risk between insurer and reinsurer. In this research, the structure of optimal reinsurance is from the insurer's perspective. Reinsurance is an insurance for the insurers. Meanwhile, the insurer's risk are determined by some tail risk measures, such as Value-at-Risk (VaR), Tail VaR (TVaR), and Modified Tail VaR (MTVaR). We propose parametric and non-parametric estimators of these risk measures. To illustrate the applicability of our results, we derive the optimal reinsurance explicitly for Quota-share reinsurance.
UR - http://www.scopus.com/inward/record.url?scp=85132928730&partnerID=8YFLogxK
U2 - 10.1063/5.0082753
DO - 10.1063/5.0082753
M3 - Conference contribution
AN - SCOPUS:85132928730
T3 - AIP Conference Proceedings
BT - 2021 Asia-Pacific Conference on Applied Mathematics and Statistics
A2 - Cattani, Carlo
PB - American Institute of Physics Inc.
T2 - 2021 Asia-Pacific Conference on Applied Mathematics and Statistics, AMS 2021
Y2 - 20 February 2021 through 22 February 2021
ER -