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 JFRM  Vol.10 No.3 , September 2021
Pareto-Optimal Reinsurance Policies under TrTVaR Risk Measure
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.
Cite this paper: Li, Y. and Fang, Y. (2021) Pareto-Optimal Reinsurance Policies under TrTVaR Risk Measure. Journal of Financial Risk Management, 10, 260-273. doi: 10.4236/jfrm.2021.103015.
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