There is a rich variety of tailored investment products available to the retail investor in every developed economy. These contracts combine upside participation in bull markets with downside protection in bear markets. Examples include equity-linked contracts and other types of structured...

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(X). In return, the insurer is obligated to compensate the reinsurer for undertaking the risk by paying the...

This paper describes a simple and efficient method for determining the optimal portfolio for a risk averse investor. The portfolio selection problem is of long standing interest to finance scholars and it has obvious practical relevance. In a complete market the modern procedure for computing...

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 conditional value at risk (CVaR), assuming that the reinsurance premium principles satisfy three basic axioms:...