Stop-loss reinsurance is a risk management tool that allows an insurance company to transfer part of their risk to a … to the 99.5% value-at-risk of its surplus. Specifically, we show that under a stop-loss contract, the ruin probability …

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 …-continuous retained loss functions, the truncated stop-loss reinsurance is shown to be optimal. In contrast, under CVaR risk measure, the …

concerns. The approach of catastrophic risk management seems to suffer from a rigid dominant definition of risk and oscillate …

alternative form of risk transfer, ILS have become a mainstream method for transferring risk from insurers to the Capital markets …