The notion of a Bowley optimum has gained recent popularity as an equilibrium concept in
problems of risk sharing and optimal reinsurance. In this paper, we examine the relationship …

We study equilibria in a reinsurance market with multiple reinsurers that are endowed with
heterogeneous beliefs, where preferences are given by distortion risk measures, and pricing …

Downside risk measures play a very interesting role in risk management problems. In
particular, the value at risk (VaR) and the conditional value at risk (CVaR) have become very …

Optimal reinsurance problems under the risk measures, such as Value-at-Risk (VaR) and
Tail-Value-at-Risk (TVaR), have been studied in recent literature. However, losses based on …

The objective of this paper is twofold. On the one hand, the optimal combination of
reinsurance and financial investment will be studied under a general framework. Indeed …

We regard the optimal reinsurance problem as an iterated optimal transport problem
between a (known) initial and an (unknown) resulting risk exposure of the insurer. We also …

In this paper, we investigate the optimal decision making of an insurer towards a new
insurable business, whose risk is independent of the existing risk faced by the insurer. We …

Downside risk measures play a very interesting role in risk management problems. In
particular, the value at risk (VaR) and the conditional value at risk (CVaR) have become very …

Downside risk measures play a very interesting role in risk management problems. In
particular, the value at risk (VaR) and the conditional value at risk (CVaR) have become very …

OPTIMAL DIVIDEND STRATEGIES AND REINSURANCE FROM AN OPTIMAL
TRANSPORT PERSPECTIVE Page 1 Unicentre CH-1015 Lausanne http://serval.unil.ch …