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 discuss a number of quantile‐based risk measures (QBRMs) that have recently been
developed in the financial risk and actuarial/insurance literatures. The measures considered …

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 …

This paper studies the optimal reinsurance problem when risk is measured by a general risk
measure. Necessary and sufficient optimality conditions are given for a wide family of risk …

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 …

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 …

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 …

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

This paper deals with the optimal reinsurance problem if both insurer and reinsurer are
facing risk and uncertainty, though the classical uncertainty free case is also included. The …