Restricted optimal retention in stop-loss reinsurance under VaR risk measure

Authors:
Vasile Preda;Silvia Dedu;Roxana Ciumara
Affiliations:
Faculty of Mathematics and Computer Science, University of Bucharest, Bucharest, Romania;Department of Mathematics, Academy of Economic Studies, Bucharest, Romania;Department of Mathematics, Academy of Economic Studies, Bucharest, Romania
Venue:
MAMECTIS'10 Proceedings of the 12th WSEAS international conference on Mathematical methods, computational techniques and intelligent systems
Year:
2010

Citing 1
Cited 0

Parameter and quantile estimation for the generalized pareto distribution

Technometrics

Quantified Score

Hi-index	0.00

Visualization

Abstract

In this paper we study the problem of existence of the restricted optimal retention in a stop-loss reinsurance. We use an optimization criterion based on minimizing VaR risk measure. We establish necessary and sufficient conditions for the existence of the optimal retention and we derive the analytical form of the optimal retention and of the corresponding VaR risk measure. The solution obtained extends the results of [3] and [8]. The results obtained are illustrated using simulations. Computational results are provided.