Convex combination optimal reinsurance with multiple reinsurers and heterogeneous beliefs

Optimal reinsurance with multiple reinsurers and heterogeneous beliefs is studied by minimizing a convex combination of the distortion risk measure of the insurer and all reinsurers.The optimal ceded loss functions are characterized for general distortion risk measures and distortion premium principles.For the VaR risk measure and the expected value premium principle, explicit optimal solutions are obtained.Numerical examples illustrate the impact of heterogeneous beliefs on the optimal reinsurance design. We study convex combination optimal reinsurance with multiple reinsurers and heterogeneous beliefs. In order to take into account the interests of the insurer and all reinsurers, we minimize the convex combination of distortion risk measures of the insurer and all reinsurers. The optimal ceded loss functions are given for the distortion risk measures and distortion premium principles. We also derive explicit solutions for the value-at-risk risk measure and the expected value premium principle. Finally, we give two examples to analyze the impact of the heterogeneous beliefs on the optimal reinsurance and to illustrate our results. Copyright Infopro Digital Limited. All rights reserved. You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5. If you would like to purchase additional rights please email info@risk.net