TITLE:
Pareto-Optimal Reinsurance Policies under TrTVaR Risk Measure
AUTHORS:
Yadong Li, Ying Fang
KEYWORDS:
TrTVaR Risk Measure, Pareto-Optimal Reinsurance, TVaR Premium Principle, The Expected Value Premium Principle
JOURNAL NAME:
Journal of Financial Risk Management,
Vol.10 No.3,
August
30,
2021
ABSTRACT: In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by TrTVaR risk measure. We study optimal reinsurance models from the perspectives of both insurers and reinsurers. To reduce ex-post moral hazard, we assume that reinsurance contracts satisfy the principle of indemnity and the incentive-compatible constraint. When the losses of an insurer and a reinsurer are both measured by TrTVaR risk measures, we obtain the explicit forms of the Pareto-optimal reinsurance contracts under the expected value premium principle and TVaR premium principle, respectively.