Haezendonck–Goovaerts risk measures is a recently introduced class of risk measures which includes, as its minimal member, the Tail Value-at-Risk (T-VaR)—T-VaR arguably the most popular risk measure in global insurance regulation. In applications often one has to estimate the risk measure...

Most of the studies on optimal reinsurance are from the viewpoint of the insurer and the optimal ceded functions always turn out to be convex. However reinsurance contracts always involve a limit on the ceded loss function in practice, thus it may not be enough to confine the analysis to the...