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OPTIMAL COMBINATIONAL OF QUOTA-SHARE AND stop-loss REINSURANCE CONTRACTS UNDER VAR AND CTE WITH A CONSTRAINED REINSURANCE PREMIUM

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Journal of Systems Science & Complexity 2011年第1期24卷 156-166页

作者： Ming ZHOU Hongbin DONG Jingfeng XU China Institute for Actuarial Sciences Central University of Finance and Economics Beijing 100081 China

This paper considers the problem of minimizing the VaR and CTE of an insurer＇s retained risk by controlling the combinational quota-share and stop-loss reinsurance strategy. With a constrained reinsurance premium, the authors give the explicit reinsurance forms and the minimal VaR and CTE of retained risk in the case of quota-share after stop-loss reinsurance and the case of stop-loss afterquota-share reinsurance respectively. Finally, the authors conclude that the quota-share after stop-loss is a better reinsurance strategy than stop-loss after quota-share to minimize the VaR and CTE with a same constrained reinsurance premium. And the pure stop-loss reinsurance is preferred for an insurer with a high level regulatory requirement.

关键词： Conditioned Tailed Expectation (CTE) after quota-share Value at Risk (VaR). quota-share after stop-loss reinsurance stop-loss

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Maximum Entropy Empirical Likelihood Methods Based on Laplace Transforms for Nonnegative Continuous Distribution with Actuarial Applications

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Open Journal of Statistics 2017年第3期7卷 459-482页

作者： Andrew Luong É cole d’actuariat Université Laval Ste Foy Québec Canada

Maximum entropy likelihood (MEEL) methods also known as exponential tilted empirical likelihood methods using constraints from model Laplace transforms (LT) are introduced in this paper. An estimate of overall loss of efficiency based on Fourier cosine series expansion of the density function is proposed to quantify the loss of efficiency when using MEEL methods. Penalty function methods are suggested for numerical implementation of the MEEL methods. The methods can easily be adapted to estimate continuous distribution with support on the real line encountered in finance by using constraints based on the model generating function instead of LT.

关键词： Quasi-Likelihood Projection Power Mixture Operator Quadratic Distance Methods Insurance Premium stop-loss Premium

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The Equilibrium Distribution of Counting Random Variables

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Open Journal of Discrete Mathematics 2011年第3期1卷 127-135页

作者： Shuanming Li 不详

We study the high order equilibrium distributions of a counting random variable. Properties such as moments, the probability generating function, the stop--loss transform and the mean residual lifetime, are derived. Expressions are obtained for higher order equilibrium distribution functions under mixtures and convolutions of a counting distribution. Recursive formulas for higher order equilibrium distribution functions of the (a,b,0) -family of distributions are given.

关键词： Counting Random Variable Equilibrium Distribution stop-loss Transform Mean Residual Life (a b 0) Family Recursive Formulas Probability Generating Function

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