Multivariate reinsurance designs for minimizing an insurer’s capital requirement

摘要: Abstract This paper investigates optimal reinsurance strategies for an insurer with multiple lines of business under the criterion minimizing its total capital requirement calculated based on multivariate lower-orthant Value-at-Risk. The is purchased by each line separately. premium principles used to compute premiums are allowed differ from one another, but they all satisfy three mild conditions: distribution invariance, risk loading and preserving convex order, which satisfied many popular principles. Our results show that strategy buy a two-layer policy business, it reduces be one-layer contract satisfying some additional conditions, met expected value principle, standard deviation principle Wang’s among others. In end this paper, numerical examples presented illustrate effects marginal distributions, dependence structure layer reinsurance.