Yanhong Chen is an assistant professor at the College of Finance and Statistics, Hunan University, China. Her main research interests include risk measures and optimal reinsurance.
The authors investigate a problem of optimal insurance in which the insured and the insure hold heterogenous beliefs concerning loss distribution and demonstrate their results with analytical and numerical examples.
In this paper, the author revisits optimal reinsurance problems by minimizing the adjusted value of the liability of an insurer, which encompasses a risk margin. The risk margin is determined by expectile.