Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles

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Optimal reinsurance designs based on risk measures: a review (2020, background): “In the absence of a constraint on the reinsurance premium, the optimal reinsurance problem in Cui et al. (2013) is formulated as min f∈C2 ρg(Tf (X)).”
Pareto-Optimal Reinsurance Arrangements Under General Model Settings (2017, background): “See e.g. Chi and Tan (2011), Bernard and Tian (2009), Cui et al. (2013), Cheung et al. (2014), Cheung and Lo (2015), and Lo (2016a) for minimization of Value-at-Risk (VaR) / Tail-Value-at-Risk (TVaR), tail risk measures, general distortion risk measures, general law-invariant convex risk measures,…”
Optimal reinsurance under risk and uncertainty (2015, unknown): “28223 Pozuelo de Alarcón (Madrid, Spain). aheras@ccee.ucm.es 1 Optimal reinsurance under risk and uncertainty 2 Usually, researchers consider the insurer point of view, though the reinsurer viewpoint may be also incorporated (Cai et al., 2012, Cui et al., 2013, etc.).”