<?xml version="1.0" encoding="UTF-8"?><xml><records><record><source-app name="Biblio" version="7.x">Drupal-Biblio</source-app><ref-type>17</ref-type><contributors><authors><author><style face="normal" font="default" size="100%">Cheung, K. C.</style></author><author><style face="normal" font="default" size="100%">Liu, Fangda</style></author><author><style face="normal" font="default" size="100%">Yam, S. C. Phillip</style></author></authors></contributors><titles><title><style face="normal" font="default" size="100%">Average Value-at-Risk minimizing reinsurance under Wang&amp;rsquo;spremium principle with constraints</style></title><secondary-title><style face="normal" font="default" size="100%">ASTIN Bulletin</style></secondary-title></titles><dates><year><style  face="normal" font="default" size="100%">2012</style></year></dates><urls><web-urls><url><style face="normal" font="default" size="100%">https://www.cambridge.org/core/journals/astin-bulletin-journal-of-the-iaa/article/average-valueatrisk-minimizing-reinsurance-under-wangs-premium-principle-with-constraints/DCE7FD3CC893538369FA555A3582C11A</style></url></web-urls></urls><volume><style face="normal" font="default" size="100%">42</style></volume><pages><style face="normal" font="default" size="100%">575-600</style></pages><language><style face="normal" font="default" size="100%">eng</style></language><abstract><style face="normal" font="default" size="100%">In the present work, we study the optimal reinsurance decision problem in which the Average Value-at-Risk of the retained loss is minimized under Wang's premium principle and is also subject to either (1) a budget constraint on reinsurance premium, or (2) a reinsurer's probabilistic benchmark constraint of his potential loss. We show that the optimal reinsurance is a single-insurance layer under Constraint (1), and a cap insurance or a double-insurance layer under Constraint (2); moreover, under Constraint (2), we further establish that under most common circumstances (see Remark after Theorem 3), a cap insurance will suffice to be optimal. Finally, some numerical illustrations will be provided.</style></abstract><issue><style face="normal" font="default" size="100%">2</style></issue></record></records></xml>