reinsurance amounts are obtained under certain assumptions about the dependence structure …

Reinsurance is a versatile risk management strategy commonly employed by insurers to optimize their risk profile. In … this paper, we study an optimal reinsurance design problem minimizing a general law-invariant coherent risk measure of the … net risk exposure of a generic insurer, in conjunction with a general law-invariant comonotonic additive convex …

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 reinsurance policies by solving the dual problem and we will see that the …

modelling problems in insurance, finance, and other fields. Risk levels of a loss variable and its transforms are often measured … by risk measures. When only partial information on a loss variable is available, risk measures of the loss variable and …-case values of risk measures of a loss variable over an uncertainty set, describing all the possible distributions of the loss …