Assessing Optimal Retention With Quantile and Expectile Risk Measure
- 10.2991/assehr.k.201021.003How to use a DOI?
- Pareto Distribution, Reinsurance Contract, Quantile, Expectile, Coherent Risk Measures
The form of claim severity from the reinsurance contracts is skewed to the right and heavy tail. The aims of this research are to determine the optimal risk measure on a reinsurance contracts. This risk measure is the coverage limit between an insurance company and a reinsurance company called optimal retention. Optimal retention in this research is estimated with 2 risk measures methods, which are the quantile-based Value-at-Risk (QVaR) and the expectile-based Value-at-Risk (EVaR). The Comparison results of the both methods by analytically and numerically show that EVaR is coherent and has a more optimal value than QVaR. As an illustration, we will use data of claim severity on a reinsurance contracts to determine the value of QVaR and EVaR.
- © 2020, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Novi Permata Indah AU - Arif Fadilla PY - 2020 DA - 2020/10/22 TI - Assessing Optimal Retention With Quantile and Expectile Risk Measure BT - Proceedings of the Brawijaya International Conference on Multidisciplinary Sciences and Technology (BICMST 2020) PB - Atlantis Press SP - 11 EP - 14 SN - 2352-5398 UR - https://doi.org/10.2991/assehr.k.201021.003 DO - 10.2991/assehr.k.201021.003 ID - Indah2020 ER -