Researchers from University of Waterloo Describe Findings in Insurance Economics (Pareto-optimal reinsurance arrangements under general model…

Insurance Weekly News

Researchers from University of Waterloo Describe Findings in Insurance Economics (Pareto-optimal reinsurance arrangements under general model settings)

By a News Reporter-Staff News Editor at Insurance Weekly News -- Current study results on Economics - Insurance Economics have been published. According to news reporting originating from Waterloo, Canada, by VerticalNews correspondents, research stated, "In this paper, we study Pareto optimality of reinsurance arrangements under general model settings. We give the necessary and sufficient conditions for a reinsurance contract to be Pareto-optimal and characterize all Pareto-optimal reinsurance contracts under more general model assumptions."

Funders for this research include Natural Sciences and Engineering Research Council of Canada, University of Waterloo, China Scholarship Council.

Our news editors obtained a quote from the research from the University of Waterloo, "We also obtain the sufficient conditions that guarantee the existence of the Pareto-optimal reinsurance contracts. When the losses of an insurer and a reinsurer are both measured by the Tail-Value-at-Risk (TVaR) risk measures, we obtain the explicit forms of the Pareto-optimal reinsurance contracts under the expected value premium principle."

According to the news editors, the research concluded: "For the purpose of practice, we use numerical examples to show how to determine the mutually acceptable Pareto-optimal reinsurance contracts among the available Paretooptimal reinsurance contracts such that both the insurer's aim and the reinsurer's goal can be met under the mutually acceptable Pareto-optimal reinsurance contracts."

For more information on this research see: Pareto-optimal reinsurance arrangements under general model settings. Insurance Mathematics & Economics, 2017;77():24-37. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

The news editors report that additional information may be obtained by contacting J. Cai, University of Waterloo, Dept. of Stat & Actuarial Sci, Waterloo, ON N2L 3G1, Canada. Additional authors for this research include H.Y. Liu and R.D. Wang.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1016/j.insmatheco.2017.08.004. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

Keywords for this news article include: Waterloo, Ontario, Canada, North and Central America, Insurance Economics, Economics, University of Waterloo.