Optimal Reciprocal Reinsurance Treaties Under the Joint Survival Probability and the Joint Profitable Probability

By Jun Cai, Yingyi Fang, Zhi Li, Gordon E. Willmot. 2013

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Pareto-Optimal Reinsurance Arrangements Under General Model Settings (2017, background): “…of the combined quota-share and stop-loss reinsurances by minimizing the sum of the variances of the losses of the insurer and the rein- surer; Cai et al. (2013) proposed the joint survival and profitable probabilities of an insurer and a reinsurer as optimization criteria to determine…”
Optimal reinsurance designs based on risk measures: a review (2020, methodology): “The optimal reinsurance models in Cai and Tan (2007) are extended by Cai et al. (2008) to study a more general class of ceded loss functions.”
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.).”
Optimal reinsurance with expectile (2016, unknown): “See, for example, Cai & Wei (2012), Asimit et al. (2013a), Cai et al. (2013), Cai et al. (2004), Cheung et al. (2014a), Chi & Meng (2014), and references therein.”