Complex models have received significant interest in recent years and are being increasingly used to explain the stochastic phenomenon with upward and downward fluctuation such as the stock market. Different from existing semi-variance methods in traditional integer dimension construction for...

In this paper we consider the problem of optimal reinsurance design for general distortion risk measures and premiums. In the first part of the paper, we find the Lagrangian dual of the primal optimal reinsurance problem and show the strong duality holds. Therefore we characterize the optimal...

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...

“Narrow framing” is a widely documented behavioral bias that predicts, instead of evaluating all their risk components as a whole, people often evaluate risks in isolation, separately from other risks they are already facing. Using representative survey data from the China Household Finance...