Chi, Yichun; Weng, Chengguo - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 179-189
In this paper, we study optimal reinsurance design by minimizing the risk-adjusted value of an insurer’s liability, where the valuation is carried out by a cost-of-capital approach based either on the value at risk or the conditional value at risk. To prevent moral hazard and to be consistent...
