Chi, Yichun - In: Insurance: Mathematics and Economics 51 (2012) 2, pp. 310-321
In this paper, we investigate the optimal form of reinsurance when the insurer seeks to minimize the value at risk(VaR) or the conditional value at risk(CVaR) of his/her total risk exposure. In order to exclude the moral hazard from a reinsurance treaty, both the ceded and retained loss...