Optimal reinsurance under risk and uncertainty on Orlicz hearts
In the paper, we study two classes of optimal reinsurance problems on Orlicz hearts in which both the insurer and reinsurer face risk and uncertainty. Based on Balbás et al. (2015) and Rockafellar and Royset (2015b), we first establish the robust representations for the mixed CVaR relative to the se...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Elsevier BV
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/60633 |
| _version_ | 1848760621294682112 |
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| author | Kong, D. Liu, Lishan Wu, Y. |
| author_facet | Kong, D. Liu, Lishan Wu, Y. |
| author_sort | Kong, D. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | In the paper, we study two classes of optimal reinsurance problems on Orlicz hearts in which both the insurer and reinsurer face risk and uncertainty. Based on Balbás et al. (2015) and Rockafellar and Royset (2015b), we first establish the robust representations for the mixed CVaR relative to the set of priors PU0. Then we introduce the general reinsurance premium principle and the general optimal reinsurance problems, which include most of the existing problems as special cases. The necessary and sufficient optimality conditions of the optimal reinsurance problems are obtained by different dual approaches under more general assumptions. |
| first_indexed | 2025-11-14T10:18:41Z |
| format | Journal Article |
| id | curtin-20.500.11937-60633 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T10:18:41Z |
| publishDate | 2017 |
| publisher | Elsevier BV |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-606332018-08-13T23:52:11Z Optimal reinsurance under risk and uncertainty on Orlicz hearts Kong, D. Liu, Lishan Wu, Y. In the paper, we study two classes of optimal reinsurance problems on Orlicz hearts in which both the insurer and reinsurer face risk and uncertainty. Based on Balbás et al. (2015) and Rockafellar and Royset (2015b), we first establish the robust representations for the mixed CVaR relative to the set of priors PU0. Then we introduce the general reinsurance premium principle and the general optimal reinsurance problems, which include most of the existing problems as special cases. The necessary and sufficient optimality conditions of the optimal reinsurance problems are obtained by different dual approaches under more general assumptions. 2017 Journal Article http://hdl.handle.net/20.500.11937/60633 10.1016/j.insmatheco.2017.10.006 Elsevier BV restricted |
| spellingShingle | Kong, D. Liu, Lishan Wu, Y. Optimal reinsurance under risk and uncertainty on Orlicz hearts |
| title | Optimal reinsurance under risk and uncertainty on Orlicz hearts |
| title_full | Optimal reinsurance under risk and uncertainty on Orlicz hearts |
| title_fullStr | Optimal reinsurance under risk and uncertainty on Orlicz hearts |
| title_full_unstemmed | Optimal reinsurance under risk and uncertainty on Orlicz hearts |
| title_short | Optimal reinsurance under risk and uncertainty on Orlicz hearts |
| title_sort | optimal reinsurance under risk and uncertainty on orlicz hearts |
| url | http://hdl.handle.net/20.500.11937/60633 |