Optimal combinational of quota-share and stop-loss reinsurance contracts under VaR and CTE with a constrained reinsurance premium |
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Authors: | Ming Zhou Hongbin Dong Jingfeng Xu |
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Affiliation: | 1.China Institute for Actuarial Sciences,Central University of Finance and Economics,Beijing,China |
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Abstract: | This paper considers the problem of minimizing the VaR and CTE of an insurer’s retained risk by controlling the combinational quota-share and stop-loss reinsurance strategy. With a constrained reinsurance premium, the authors give the explicit reinsurance forms and the minimal VaR and CTE of retained risk in the case of quota-share after stop-loss reinsurance and the case of stop-loss after-quota-share reinsurance respectively. Finally, the authors conclude that the quota-share after stop-loss is a better reinsurance strategy than stop-loss after quota-share to minimize the VaR and CTE with a same constrained reinsurance premium. And the pure stop-loss reinsurance is preferred for an insurer with a high level regulatory requirement. |
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