Concave Distortion Risk Minimizing Reinsurance Design under Adverse Selection
Publication in refereed journal

香港中文大學研究人員
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摘要This article makes use of the well-known Principal–Agent (multidimensional screening) model commonly used in economics to analyze a monopolistic reinsurance market in the presence of adverse selection, where the risk preference of each insurer is guided by its concave distortion risk measure of the terminal wealth position; while the reinsurer, under information asymmetry, aims to maximize its expected profit by designing an optimal policy provision (menu) of “shirt-fit” stop-loss reinsurance contracts for every insurer of either type of low or high risk. In particular, the most representative case of Tail Value-at-Risk (TVaR) is further explored in detail so as to unveil the underlying insight from economics perspective.
著者Ka Chun Cheung, Sheung Chi Phillip Yam, Fei Lung Yuen, Yiying Zhang
期刊名稱Insurance: Mathematics and Economics
出版年份2020
月份3
卷號91
出版社Elsevier
出版地USA
頁次155 - 165
國際標準期刊號0167-6687
電子國際標準期刊號1873-5959
語言美式英語
關鍵詞Risk management, Principal–agent problem, Distortion risk measure, Incentive compatibility, Individual rationality

上次更新時間 2020-28-11 於 00:10