The optimal reinsurance contract is investigated from the perspective of an insurer who would like to minimise its risk exposure under Solvency II. Under this regulatory framework, the insurer is exposed to the retained risk, reinsurance premium and change in the risk margin requirement as a...

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

In this paper, we study two classes of optimal reinsurance models from the perspective of an insurer by minimizing its total risk exposure under the criteria of value at risk (VaR) and conditional value at risk (CVaR), assuming that the reinsurance premium principles satisfy three basic axioms:...