Expected Shortfall风险度量下的最优再保险（英文）

为了避免由高理赔额造成的违约,保险公司通常通过签订再保合约将一部分风险转移给再保险公司.近年来对最优再保策略的研究着眼于最小化自留损失的方差,保险公司总风险的value-at-risk或conditional tail expectation.本文研究了在expected shortfall准则下的再保策略.我们给出了最优的增凸转移损失函数,并分别讨论了有无保费限制的情形.

Optimal Reinsurance Under Expected Shortfall Risk Measure

To avoid the default due to a high claim amount, the insurer usually transfers part of its risk to the reinsurer by signing a reinsurance contract. To seek the optimal reinsurance strategy, recent studies focus on minimizing variance of the retained loss, value-at-risk or conditional tail expectation of the insurer＇s total risk exposure. This note studies the reinsurance strategy under the expected shortfall criterion. We build the optimal increasing and convex ceded loss function, both cases without and with the constraint of premium are discussed.