This book gives an introduction to basic concepts and methods in mathematical risk
analysis, in particular to those parts of risk theory which are of particular relevance in finance …

Reinsurance is an effective way for an insurance company to control its risk. How to design
an optimal reinsurance contract is not only a key topic in actuarial science, but also an …

In this paper, we propose to combine the Marginal Indemnification Function (MIF)
formulation and the Lagrangian dual method to solve optimal reinsurance model with …

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 …

Optimal reinsurance from an insurer's point of view or from a reinsurer's point of view has
been studied extensively in the literature. However, as two parties of a reinsurance contract …

In this paper, we study Pareto optimality of reinsurance arrangements under general model
settings. We give the necessary and sufficient conditions for a reinsurance contract to be …

The optimal insurance problem represents a fast growing topic that explains the most
efficient contract that an insurance player may get. The classical problem investigates the …

In this paper, we consider the optimal proportional reinsurance strategy in a risk model with
multiple dependent classes of insurance business, which extends the work of Liang and …

In the presence of multiple constraints such as the risk tolerance constraint and the budget
constraint, many extensively studied (Pareto-) optimal reinsurance problems based on …

In this paper, we study optimal reinsurance treaties that minimize the liability of an insurer.
The liability is defined as the actuarial reserve on an insurer's risk exposure plus the risk …