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.
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El Attar, A., El Hachloufi, M., Guennoun, Z.E.A. (2018). Optimal Reinsurance Under CTV Risk Measure. In: Ben Ahmed, M., Boudhir, A. (eds) Innovations in Smart Cities and Applications. SCAMS 2017. Lecture Notes in Networks and Systems, vol 37. Springer, Cham. https://doi.org/10.1007/978-3-319-74500-8_82
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DOI: https://doi.org/10.1007/978-3-319-74500-8_82
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