In this paper, we propose to combine the Marginal Indemnification Function (MIF) formulation and the Lagrangian dual method to solve optimal reinsurance model with distortion risk measure and distortion reinsurance premium principle. The MIF method exploits the absolute continuity of admissible...

This paper proposes a novel and practical approach of addressing optimal reinsurance via an empirical approach. This method formulates reinsurance models using the observed data directly and has advantages including (i) transformation of an infinite dimensional optimization problem to finite...

The first moment and second central moments of the portfolio return, a.k.a. mean and variance, have been widely employed to assess the expected profit and risk of the portfolio. Investors pursue higher mean and lower variance when designing the portfolios. The two moments can well describe the...