Brandtner, Mario; Kürsten, Wolfgang - In: Insurance: Mathematics and Economics 59 (2014) C, pp. 156-167
under Conditional Value-at-Risk and, as its natural extension, spectral risk measures. First, we show that stop …-loss reinsurance is optimal under both Conditional Value-at-Risk and spectral risk measures. Spectral risk measures thus constitute a … more general class of suitable regulatory risk measures than specific Conditional Value-at-Risk. At the same time, the …