Abstract
AbstractIn this article, we study the problem of optimal reinsurance policy for multivariate risks whose quantitative analysis in the realm of general law‐invariant convex risk measures, to the best of our knowledge, is still absent in the literature. In reality, it is often difficult to determine the actual dependence structure of these risks. Instead of assuming any particular dependence structure, we propose the minimax optimal reinsurance decision formulation in which the worst case scenario is first identified, then we proceed to establish that the stop‐loss reinsurances are optimal in the sense that they minimize a general law‐invariant convex risk measure of the total retained risk. By using minimax theorem, explicit form of and sufficient condition for ordering the optimal deductibles are also obtained.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
