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Optimal reinsurance problems involving risk measures

Optimal reinsurance problems involving risk measures This abstract describes a paper that studies the optimal reinsurance problem when risk is measured by a general risk measure. It is ...
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Description: This abstract describes a paper that studies the optimal reinsurance problem when risk is measured by a general risk measure. It is demonstrated that there is a “stable optimal retention” that will show no sensitivity, insofar as it will solve the optimal reinsurance problem for many risk measures, thus providing a very robust reinsurance plan.
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- Authors: Beatriz Balbas-Aparicio
- Date: Jul 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Risk measurement - ERM; Reinsurance

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Optimal reinsurance problems involving risk measures