Stop-loss and limited loss random variables are two important transforms of a loss random variable and appear in many modelling problems in insurance, finance, and other fields. Risk levels of a loss variable and its transforms are often measured by risk measures. When only partial information...

In this paper, we study Pareto optimality of reinsurance arrangements under general model settings. We give the necessary and sufficient conditions for a reinsurance contract to be Pareto-optimal and characterize all Pareto-optimal reinsurance contracts under more general model assumptions. We...