In this paper we consider the problem of optimal reinsurance design for general distortion risk measures and premiums. In the first part of the paper, we find the Lagrangian dual of the primal optimal reinsurance problem and show the strong duality holds. Therefore we characterize the optimal...

In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk measure and the premium is given by a distortion risk premium. First, we show how the optimal reinsurance design for the ceding company, the reinsurance company and the social...

In this paper, we consider a dynamic set-up for designing optimal reinsurance contracts. The main objective is to maximise the lifetime dividends of an insurance company. We study three problems. First, we consider a general dividend maximisation problem with just budget constraints; second, we...

The main objective of this paper is to model the losses caused by frost events and use it to price frost insurances. Since the data on frost events are either unavailable or rarely available, we have chosen to obtain a model for frost losses based on temperature by using some fundamental...

This paper introduces a new insurance paradigm, called insurance-by-credit (hence IBC), that is based on the idea of running insurance on deficit. We believe that IBC can better cope with the macro-level risks such as the COVID-19 outbreak, compared with the standard insurances. As we will...

- Introduction to Quantitative Risk Management and Risk in Agricultural Business: Cutting Edge Quantitative Concepts and Methodologies -- Index-based Insurance Design for Climate and Weather Risk Management: A Review -- Weather and Yield Index-Based Insurance Schemes in the EU Agriculture: A...