%0 Journal Article
%J ASTIN Bulletin
%D 2012
%T Average Value-at-Risk minimizing reinsurance under Wang’spremium principle with constraints
%A Cheung, K. C.
%A Liu, Fangda
%A Yam, S. C. Phillip
%X In the present work, we study the optimal reinsurance decision problem in which the Average Value-at-Risk of the retained loss is minimized under Wang's premium principle and is also subject to either (1) a budget constraint on reinsurance premium, or (2) a reinsurer's probabilistic benchmark constraint of his potential loss. We show that the optimal reinsurance is a single-insurance layer under Constraint (1), and a cap insurance or a double-insurance layer under Constraint (2); moreover, under Constraint (2), we further establish that under most common circumstances (see Remark after Theorem 3), a cap insurance will suffice to be optimal. Finally, some numerical illustrations will be provided.
%B ASTIN Bulletin
%V 42
%P 575-600
%G eng
%U https://www.cambridge.org/core/journals/astin-bulletin-journal-of-the-iaa/article/average-valueatrisk-minimizing-reinsurance-under-wangs-premium-principle-with-constraints/DCE7FD3CC893538369FA555A3582C11A
%N 2