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Concave distortion risk minimizing reinsurance design under adverse selection

Cheung, Ka Chun, Yam, Sheung Chi Phillip, Yuen, Fei Lung, Zhang, Yiying (2020) Concave distortion risk minimizing reinsurance design under adverse selection. Insurance: Mathematics and Economics, 91 . pp. 155-165. ISSN 0167-6687. (doi:10.1016/j.insmatheco.2020.02.001) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:97131)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL:
https://doi.org/10.1016/j.insmatheco.2020.02.001

Abstract

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.

Item Type: Article
DOI/Identification number: 10.1016/j.insmatheco.2020.02.001
Subjects: Q Science > QA Mathematics (inc Computing science)
Divisions: Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science
Depositing User: Kevin Yuen
Date Deposited: 28 Sep 2022 13:24 UTC
Last Modified: 29 Sep 2022 13:46 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/97131 (The current URI for this page, for reference purposes)

University of Kent Author Information

Yuen, Fei Lung.

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