In this paper, we study optimal reinsurance design by minimizing the risk-adjusted value of an insurer’s liability, where the valuation is carried out by a cost-of-capital approach based either on the value at risk or the conditional value at risk. To prevent moral hazard and to be consistent...

Purpose – The purpose of this paper is to analyze the optimal reinsurance contract structure from the crop insurer's perspective. Design/methodology/approach – A very powerful and flexible empirical‐based reinsurance model is used to analyze the optimal form of the reinsurance treaty. The...

Purpose – The purpose of this paper is to analyze the optimal reinsurance contract structure from the crop insurer's perspective. Design/methodology/approach – A very powerful and flexible empirical-based reinsurance model is used to analyze the optimal form of the reinsurance treaty. The...