Reinsurance is an effective way for an insurance company to control its risk. How to design
an optimal reinsurance contract is not only a key topic in actuarial science, but also an …

In this paper, we study two classes of optimal reinsurance models by minimizing the total risk
exposure of an insurer under the criteria of value at risk (VaR) and conditional value at risk …

In this paper, we propose to combine the Marginal Indemnification Function (MIF)
formulation and the Lagrangian dual method to solve optimal reinsurance model with …

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 this paper, we study two classes of optimal reinsurance models from the perspective of an
insurer by minimizing its total risk exposure under the criteria of value at risk (VaR) and …

Optimal reinsurance from an insurer's point of view or from a reinsurer's point of view has
been studied extensively in the literature. However, as two parties of a reinsurance contract …

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 …

This paper studies the optimal dynamic reinsurance policy for an insurance company whose
surplus is modeled by the diffusion approximation of the classical Cramér–Lundberg model …

The optimal insurance problem represents a fast growing topic that explains the most
efficient contract that an insurance player may get. The classical problem investigates the …