Cont et al. recently showed that coherent risk measures are not robust with respect to changes in large data. In this paper we show that robust risk measures always generate pathological financial positions called "Good Deals". We also introduce the minimal distribution invariant modification of...

In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk measure and the premium is given by a distortion risk premium. First, we show how the optimal reinsurance design for the ceding company, the reinsurance company and the social...