We derive the optimal portfolio choice for an investor who behaves according to Cumulative Prospect Theory. The study is done in a one-period economy with one risk-free asset and one risky asset, and the reference point corresponds to the terminal wealth arising when the entire initial wealth is...

This paper unifies the work on multiple reinsurers, distortion risk measures, premium budgets,and heterogeneous beliefs. An insurer minimizes a distortion risk measure, while seekingreinsurance with finitely many reinsurers. The reinsurers use distortion premium principles, andthey are allowed...