Optimal Reinsurance with Vajda Condition and Range-Value-at-Risk
| dc.contributor.advisor | Jiang, Wenjun | |
| dc.contributor.author | Wang, Ye | |
| dc.contributor.committeemember | Ambagaspitiya, Rohana | |
| dc.contributor.committeemember | Badescu, Alexandru | |
| dc.date | 2022-11 | |
| dc.date.accessioned | 2022-09-13T17:56:26Z | |
| dc.date.available | 2022-09-13T17:56:26Z | |
| dc.date.issued | 2022-09 | |
| dc.description.abstract | In this project we study an optimal reinsurance problem where the insurer’s risk-adjusted liability gets minimized. To better reflect the spirit of reinsurance, we impose exogenous Vajda condition on indemnity functions which requires the reinsurer to pay an increasing proportion of loss. To consider both robustness and tail risk, the insurer is assumed to apply Range-Value-at-Risk (RVaR) to evaluate its risk. Under the expected value premium principle, we derive the closed-form solution to our problem, which includes the results in Chi and Weng (2013) as special cases. Some comparative studies and sensitivity analysis are also carried out through numerical examples. Results from a simulation study indicate that the policy with Vajda condition is superior to that without Vajda condition if the insurer is very aversive to the tail risk. | en_US |
| dc.identifier.citation | Wang, Y. (2022). Optimal reinsurance with Vajda condition and Range-Value-at-Risk (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. | en_US |
| dc.identifier.uri | http://hdl.handle.net/1880/115214 | |
| dc.identifier.uri | https://dx.doi.org/10.11575/PRISM/40233 | |
| dc.language.iso | eng | en_US |
| dc.publisher.faculty | Science | en_US |
| dc.publisher.institution | University of Calgary | en |
| dc.rights | University of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission. | en_US |
| dc.subject | optimal reinsurance | en_US |
| dc.subject | Vajda condition | en_US |
| dc.subject | Range-Value-at-Risk | en_US |
| dc.subject | RVaR | en_US |
| dc.subject.classification | Education--Finance | en_US |
| dc.subject.classification | Mathematics | en_US |
| dc.title | Optimal Reinsurance with Vajda Condition and Range-Value-at-Risk | en_US |
| dc.type | master thesis | en_US |
| thesis.degree.discipline | Mathematics & Statistics | en_US |
| thesis.degree.grantor | University of Calgary | en_US |
| thesis.degree.name | Master of Science (MSc) | en_US |
| ucalgary.item.requestcopy | false | en_US |