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 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....

In this paper, we investigate the problem of purchasing a reinsurance policy that minimizes the risk-adjusted value of an insurer's liability, where the valuation is carried out using a cost-of-capital approach. In order to exclude the moral hazard, we assume that both the insurer and reinsurer...

A variable annuity (VA) is a deferred annuity that allows an annuitant to invest his/her contributions into a range of mutual funds. A separate account termed as sub-account is set up for the investment. Unlike a mutual fund, a VA offers a guaranteed minimum death benefit or GMDB and often...