Abstract
This paper discusses optimal reinsurance strategy by minimizing insurer’s risk under one general risk measure: Distortion risk measure. The authors assume that the reinsurance premium is determined by the expected value premium principle and the retained loss of the insurer is an increasing function of the initial loss. An explicit solution of the insurer’s optimal reinsurance problem is obtained. The optimal strategies for some special distortion risk measures, such as value-at-risk (VaR) and tail value-at-risk (TVaR), are also investigated.
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