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 - <p style="text-align: justify;">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&#39;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.</p>