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Volume 28, Issue 4
Risk Measure and Premium Distribution on Catastrophe Reinsurance

Li Xun & Dehui Wang

Commun. Math. Res., 28 (2012), pp. 367-375.

Published online: 2021-05

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  • Abstract

In this paper, we propose a new risk measure which is based on the Orlicz premium principle to characterize catastrophe risk premium. The intention is to develop a formulation strategy for Catastrophe Fund. The logarithm equivalent form of reinsurance premium is regarded as the retention of reinsurer, and the differential earnings between the reinsurance premium and the reinsurer's retention is accumulated as a part of Catastrophe Fund. We demonstrate that the aforementioned risk measure has some good properties, which are further confirmed by numerical simulations in R environment.

  • Keywords

catastrophe reinsurance, catastrophe fund, Orlicz premium principle, Haezendonck-Goovaerts risk measure, stochastic ordering.

  • AMS Subject Headings

62P05, 91B30, 97M30

  • Copyright

COPYRIGHT: © Global Science Press

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@Article{CMR-28-367, author = {Xun , Li and Wang , Dehui}, title = {Risk Measure and Premium Distribution on Catastrophe Reinsurance}, journal = {Communications in Mathematical Research }, year = {2021}, volume = {28}, number = {4}, pages = {367--375}, abstract = {

In this paper, we propose a new risk measure which is based on the Orlicz premium principle to characterize catastrophe risk premium. The intention is to develop a formulation strategy for Catastrophe Fund. The logarithm equivalent form of reinsurance premium is regarded as the retention of reinsurer, and the differential earnings between the reinsurance premium and the reinsurer's retention is accumulated as a part of Catastrophe Fund. We demonstrate that the aforementioned risk measure has some good properties, which are further confirmed by numerical simulations in R environment.

}, issn = {2707-8523}, doi = {https://doi.org/}, url = {http://global-sci.org/intro/article_detail/cmr/19038.html} }
TY - JOUR T1 - Risk Measure and Premium Distribution on Catastrophe Reinsurance AU - Xun , Li AU - Wang , Dehui JO - Communications in Mathematical Research VL - 4 SP - 367 EP - 375 PY - 2021 DA - 2021/05 SN - 28 DO - http://doi.org/ UR - https://global-sci.org/intro/article_detail/cmr/19038.html KW - catastrophe reinsurance, catastrophe fund, Orlicz premium principle, Haezendonck-Goovaerts risk measure, stochastic ordering. AB -

In this paper, we propose a new risk measure which is based on the Orlicz premium principle to characterize catastrophe risk premium. The intention is to develop a formulation strategy for Catastrophe Fund. The logarithm equivalent form of reinsurance premium is regarded as the retention of reinsurer, and the differential earnings between the reinsurance premium and the reinsurer's retention is accumulated as a part of Catastrophe Fund. We demonstrate that the aforementioned risk measure has some good properties, which are further confirmed by numerical simulations in R environment.

Li Xun & Dehui Wang. (2021). Risk Measure and Premium Distribution on Catastrophe Reinsurance. Communications in Mathematical Research . 28 (4). 367-375. doi:
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