Optimal Reinsurance under VaR and CVaR Risk Measures: A Simplified Approach

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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 minimizing the distortion risk measure under general reinsurance premium principles (2013, unknown): “As introduced before, some recent developments on VaR and TVaR optimization problems under the expected premium principle include Cai et al. (2008), Cheung (2010), Chi and Tan (2010), Tan, Weng and Zhang (2011) and some references therein.”
Optimal Reinsurance with General Premium Principles (2013, unknown): “See e.g. Kaluszka (2005), Bernard and Tian (2009), Chi and Tan (2010) for details.”
Optimal reinsurance designs based on risk measures: a review (2020, methodology): “See Theorem 3.4 in Chi and Tan (2011) for a detailed discussion.”
Optimal Reinsurance under Variance Related Premium Principles (2012, unknown): “2 in Chi and Tan (2011b). Next, we demonstrate E[hf (X)] = E[f (X)].”