Concave distortion risk minimizing reinsurance design under adverse selection
This article makes use of the well-known Principal–Agent (multidimensional screening) model commonly used in economics to analyze a monopolistic reinsurance market in the presence of adverse selection, where the risk preference of each insurer is guided by its concave distortion risk measure of the...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Cheung, Ka Chun [verfasserIn] |
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| Format: |
E-Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2020transfer abstract |
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| Schlagwörter: |
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| Umfang: |
11 |
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| Übergeordnetes Werk: |
Enthalten in: Type V secretion: From biogenesis to biotechnology - van Ulsen, Peter ELSEVIER, 2014transfer abstract, mathematics and economics, Amsterdam |
|---|---|
| Übergeordnetes Werk: |
volume:91 ; year:2020 ; pages:155-165 ; extent:11 |
| Links: |
|---|
| DOI / URN: |
10.1016/j.insmatheco.2020.02.001 |
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Cheung, Ka Chun |
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10.1016/j.insmatheco.2020.02.001 |
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concave distortion risk minimizing reinsurance design under adverse selection |
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Concave distortion risk minimizing reinsurance design under adverse selection |
| abstract |
This article makes use of the well-known Principal–Agent (multidimensional screening) model commonly used in economics to analyze a monopolistic reinsurance market in the presence of adverse selection, where the risk preference of each insurer is guided by its concave distortion risk measure of the terminal wealth position; while the reinsurer, under information asymmetry, aims to maximize its expected profit by designing an optimal policy provision (menu) of “shirt-fit” stop-loss reinsurance contracts for every insurer of either type of low or high risk. In particular, the most representative case of Tail Value-at-Risk (TVaR) is further explored in detail so as to unveil the underlying insight from economics perspective. |
| abstractGer |
This article makes use of the well-known Principal–Agent (multidimensional screening) model commonly used in economics to analyze a monopolistic reinsurance market in the presence of adverse selection, where the risk preference of each insurer is guided by its concave distortion risk measure of the terminal wealth position; while the reinsurer, under information asymmetry, aims to maximize its expected profit by designing an optimal policy provision (menu) of “shirt-fit” stop-loss reinsurance contracts for every insurer of either type of low or high risk. In particular, the most representative case of Tail Value-at-Risk (TVaR) is further explored in detail so as to unveil the underlying insight from economics perspective. |
| abstract_unstemmed |
This article makes use of the well-known Principal–Agent (multidimensional screening) model commonly used in economics to analyze a monopolistic reinsurance market in the presence of adverse selection, where the risk preference of each insurer is guided by its concave distortion risk measure of the terminal wealth position; while the reinsurer, under information asymmetry, aims to maximize its expected profit by designing an optimal policy provision (menu) of “shirt-fit” stop-loss reinsurance contracts for every insurer of either type of low or high risk. In particular, the most representative case of Tail Value-at-Risk (TVaR) is further explored in detail so as to unveil the underlying insight from economics perspective. |
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| title_short |
Concave distortion risk minimizing reinsurance design under adverse selection |
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https://doi.org/10.1016/j.insmatheco.2020.02.001 |
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Phillip Yam, Sheung Chi Yuen, Fei Lung Zhang, Yiying |
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Phillip Yam, Sheung Chi Yuen, Fei Lung Zhang, Yiying |
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