This paper studies the optimal risk-sharing between an insurer and a reinsurer. The insurer purchases reinsurance for risk-control and decides her retention level with an objective to minimize her ruin probability. The reinsurer has control over the reinsurance price and aims to maximize her...

An innovative cumulative distribution function (CDF) based method is proposed for deriving optimal reinsurance contracts to maximize an insurer's survival probability. The optimal reinsurance model is a non-concave constrained stochastic maximization problem, and the CDF based method transforms...

In this paper, the Conditional Value-at-Risk (CVaR) is adopted to measure the total loss of multiple lines of insurance business and two nonparametric estimation methods are introduced to explore the optimal multivariate quota-share reinsurance under a mean-CVaR framework. While almost all the...