Journal article

OPTIMAL STOP-LOSS REINSURANCE WITH JOINT UTILITY CONSTRAINTS

Nan Zhang, Linyi Qian, Zhuo Jin, Wei Wang

Journal of Industrial and Management Optimization | AMER INST MATHEMATICAL SCIENCES-AIMS | Published : 2021

Abstract

We investigate the optimal reinsurance problems in this paper, specifically, the stop-loss strategies that can bring mutual benefit to both the insurance company and the reinsurance company. The utility improvement constraints are adopted by both contracting parties to guarantee that a reinsurance contract will bring higher expected utilities of wealth to the two participants. We also introduce five risk criteria that reect the interests of both parties. Under each optimality criterion, we obtain explicit expressions of optimal stop-loss retentions and the corresponding optimised value of objective functions. The upper and lower bounds of expected utility increments under the optimal stop-lo..

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University of Melbourne Researchers

Grants

Awarded by National Natural Science Foundation of China


Awarded by Zhejiang Provincial Natural Science Foundation of China


Awarded by "Shuguang Program" - Shanghai Education Development Foundation


Awarded by Shanghai Municipal Education Commission


Awarded by Humanity and Social Science Youth Foundation of the Ministry of Education of China


Awarded by National Social Science Foundation Key Program


Awarded by 111 Project


Funding Acknowledgements

This work was supported by the National Natural Science Foundation of China (11771147, 11571113), the Zhejiang Provincial Natural Science Foundation of China (LY17G010003), "Shuguang Program" supported by Shanghai Education Development Foundation and Shanghai Municipal Education Commission(18SG25), the Humanity and Social Science Youth Foundation of the Ministry of Education of China (18YJC910012), the National Social Science Foundation Key Program (17ZDA091), the 111 Project(B14019) and Faculty Research Grant of University of Melbourne.