Let X denote the loss initially assumed by an insurer. In a reinsurance design, the insurer
cedes part of its loss, say f (X), to a reinsurer, and thus the insurer retains a loss If (X)= X− f …

We consider the classical Cramér-Lundberg model with dynamic proportional reinsurance
and solve the problem of finding the optimal reinsurance strategy which minimizes the …

In this paper, we reexamine the two optimal reinsurance problems studied in Cai et
al.(2008), in which the objectives are to find the optimal reinsurance contracts that minimize …

Recently the optimal reinsurance strategy concerning the insurer's risk attitude and the
reinsurance premium principle has been an interesting topic. This paper discusses the …

In recent years, general risk measures play an important role in risk management in both
finance and insurance industry. As a consequence, there is an increasing number of …

Suppose an insurer wants to have a reinsurance contract minimizing a convex measure of
his retained risk or maximizing a utility function. Suppose the reinsurer's premium is fixed …

By formulating a constrained optimization model, we address the problem of optimal
reinsurance design using the criterion of minimizing the conditional tail expectation (CTE) …

We consider the problem of finding reinsurance policies that maximize the expected utility,
the stability and the survival probability of the cedent for a fixed reinsurance premium …

The present work studies the optimal insurance policy offered by an insurer adopting a
proportional premium principle to an insured whose decision-making behavior is modeled …

In his celebrated work, Arrow (1974) was the first to discover the optimality of deductible
insurance under the Expected Utility Theory; recently, Kaluszka and Okolewski (2008) …