The minimization of general risk functions is becoming more and more important in portfolio choice theory and optimal hedging. There are two major reasons. Firstly, heavy tails and the lack of symmetry in the returns of many assets provokes that the classical optimization of the standard...

The optimal reinsurance problem is a classic topic in actuarial mathematics. Recent approaches consider a coherent or expectation bounded risk measure and minimize the global risk of the ceding company under adequate constraints. However, there is no consensus about the risk measure that the...