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    Optimal reinsurance under risk and uncertainty on Orlicz hearts

    Access Status
    Fulltext not available
    Authors
    Kong, D.
    Liu, Lishan
    Wu, Y.
    Date
    2017
    Type
    Journal Article
    
    Metadata
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    Citation
    Kong, D. and Liu, L. and Wu, Y. 2017. Optimal reinsurance under risk and uncertainty on Orlicz hearts. Insurance: Mathematics and Economics. 81: pp. 108-116.
    Source Title
    Insurance: Mathematics and Economics
    DOI
    10.1016/j.insmatheco.2017.10.006
    ISSN
    0167-6687
    School
    School of Electrical Engineering, Computing and Mathematical Science (EECMS)
    URI
    http://hdl.handle.net/20.500.11937/60633
    Collection
    • Curtin Research Publications
    Abstract

    In the paper, we study two classes of optimal reinsurance problems on Orlicz hearts in which both the insurer and reinsurer face risk and uncertainty. Based on Balbás et al. (2015) and Rockafellar and Royset (2015b), we first establish the robust representations for the mixed CVaR relative to the set of priors PU0. Then we introduce the general reinsurance premium principle and the general optimal reinsurance problems, which include most of the existing problems as special cases. The necessary and sufficient optimality conditions of the optimal reinsurance problems are obtained by different dual approaches under more general assumptions.

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