Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability

Author(s):  
Tim J. Boonen ◽  
Ken Seng Tan ◽  
Sheng Chao Zhuang
2021 ◽  
pp. 1-29
Author(s):  
Changwen Li ◽  
Yong-Wu Zhou ◽  
Bin Cao ◽  
Yuanguang Zhong

2021 ◽  
pp. 1-29
Author(s):  
Yanhong Chen

ABSTRACT In this paper, we study the optimal reinsurance contracts that minimize the convex combination of the Conditional Value-at-Risk (CVaR) of the insurer’s loss and the reinsurer’s loss over the class of ceded loss functions such that the retained loss function is increasing and the ceded loss function satisfies Vajda condition. Among a general class of reinsurance premium principles that satisfy the properties of risk loading and convex order preserving, the optimal solutions are obtained. Our results show that the optimal ceded loss functions are in the form of five interconnected segments for general reinsurance premium principles, and they can be further simplified to four interconnected segments if more properties are added to reinsurance premium principles. Finally, we derive optimal parameters for the expected value premium principle and give a numerical study to analyze the impact of the weighting factor on the optimal reinsurance.


2021 ◽  
Vol 13 (15) ◽  
pp. 8592
Author(s):  
Marcin Gąsior

During the last several years, a tremendous increase in the popularity of online shopping has been observed. There are several possible reasons behind it, some of them, like competitive pricing, convenience or low cost of information search, considered to be extrinsic, others—like ease of use of this channel, pleasure related to it or willingness to reduce social interactions—intrinsic. The purpose of this research is to evaluate another factor, i.e., consumers’ environmental attitudes, in the perspective of their possible relation with the perception and willingness to use online and conventional shopping channels. In order to achieve this, a self-reporting questionnaire was developed and the data from a representative sample of 1000 Polish Internet users was gathered. The research procedure included cluster analysis, whose objective was to identify groups of customers with similar composition of environmental attitudes and next, a set of Kruskal–Wallis tests, aimed at identifying differences in opinions on channels between these clusters. The research proved that large groups of consumers with consistent sets of environmental attitudes exist and the scope of differences between such clusters is not reduced to a unidimensional, “positive–negative” continuum. Furthermore, there are significant differences between clusters in the declared willingness to use online and conventional shopping channels—groups more environmentally-oriented are more willing to purchase online and trust online shops, although they neither perceive conventional retail in a more negative way nor directly prefer online over conventional channels. The nature of such a phenomenon is open to explanation and interpretation, nevertheless, the research proves that environmental attitudes should be included in future models of consumers’ channel choice.


Mathematics ◽  
2021 ◽  
Vol 9 (12) ◽  
pp. 1350
Author(s):  
Galina Horáková ◽  
František Slaninka ◽  
Zsolt Simonka

The aim of the paper is to propose, and give an example of, a strategy for managing insurance risk in continuous time to protect a portfolio of non-life insurance contracts against unwelcome surplus fluctuations. The strategy combines the characteristics of the ruin probability and the values VaR and CVaR. It also proposes an approach for reducing the required initial reserves by means of capital injections when the surplus is tending towards negative values, which, if used, would protect a portfolio of insurance contracts against unwelcome fluctuations of that surplus. The proposed approach enables the insurer to analyse the surplus by developing a number of scenarios for the progress of the surplus for a given reinsurance protection over a particular time period. It allows one to observe the differences in the reduction of risk obtained with different types of reinsurance chains. In addition, one can compare the differences with the results obtained, using optimally chosen parameters for each type of proportional reinsurance making up the reinsurance chain.


2014 ◽  
Vol 18 (2) ◽  
pp. 315-342 ◽  
Author(s):  
Ken Seng Tan ◽  
Chengguo Weng

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