In this paper, we generalize the Cramer-Lundberg risk model perturbed by diffusion to incorporate jumps due to the surplus investment return and to relax the positive loading condition. Assuming that the surplus process has exponential upward and arbitrary downward jumps, we analyze the expected...

In this paper, we study an optimal reinsurance model from the perspective of an insurer, who has a general mean-variance preference. In order to reduce ex post moral hazard, we assume that both parties in a reinsurance contract are obligated to pay more for a larger realization of loss. We...

In this paper, we study two classes of optimal reinsurance models by minimizing the total risk exposure of an insurer under the criteria of value at risk (VaR) and conditional value at risk (CVaR). We assume that the reinsurance premium is calculated according to the expected value principle....