When is truncated stop loss optimal?
Fuente:
arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2024
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866914921435889664 |
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| author | Bølviken, Erik Wang, Yinzhi |
| author_facet | Bølviken, Erik Wang, Yinzhi |
| contents | The paper examines how reinsurance can be used to strike a balance between expected profit and VaR/CVaR risk. Conditions making truncated stop loss contracts optimal are derived, and it is argued that those are usually satisfied in practice. One of the prerequisites is that reinsurance is not too cheap, and an argument resembling arbitrage suggests that it is not. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2408_12933 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | When is truncated stop loss optimal? Bølviken, Erik Wang, Yinzhi Applications The paper examines how reinsurance can be used to strike a balance between expected profit and VaR/CVaR risk. Conditions making truncated stop loss contracts optimal are derived, and it is argued that those are usually satisfied in practice. One of the prerequisites is that reinsurance is not too cheap, and an argument resembling arbitrage suggests that it is not. |
| title | When is truncated stop loss optimal? |
| topic | Applications |
| url | https://arxiv.org/abs/2408.12933 |