Optimal Reinsurance Under CTV Risk Measure

  • Abderrahim El Attar
  • Mostafa El Hachloufi
  • Zine El Abidine Guennoun
Conference paper
Part of the Lecture Notes in Networks and Systems book series (LNNS, volume 37)

Abstract

In this paper we proposed a new model for optimizing reinsurance which acts on the Conditional Tail Expectation (CTV) and the technical benefit. In this model, we have determined optimal reinsurance treaty parameters that minimize (CTV) under the constraint of technical benefit which must also be maximal. The minimization procedure is based on augmented Lagrangian method and genetic algorithms in order to solve the optimization program of this model.

Keywords

Augmented Lagrangian Conditional Tail Variance Genetic algorithms Optimization Premium principle Reinsurance Technical benefit 

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Copyright information

© Springer International Publishing AG 2018

Authors and Affiliations

  • Abderrahim El Attar
    • 1
  • Mostafa El Hachloufi
    • 2
  • Zine El Abidine Guennoun
    • 1
  1. 1.Department of Mathematics, Faculty of Sciences-RabatMohamed V UniversityRabatMorocco
  2. 2.Department of Statistics and MathematicsFaculty of Juridical Sciences, Economic and Social-Ain SebaaCasablancaMorocco

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