Optimal reinsurance problems under the risk measures, such as Value-at-Risk (VaR) and Tail-Value-at-Risk (TVaR), have … weighted combination of VaR and TVaR. Based on the new risk measures, we deal with the optimal reinsurance problem by … for catastrophic losses. In this paper, we propose a new family of flexible risk measures denoted by LVaR, which is a …

This paper proposes risk sharing strategies, which allow insurers to cooperate and diversify non-systemic risk. We deal … with both deviation measures and coherent risk measures and provide general mathematical methods applying to optimize them … all. Numerical examples are given in order to illustrate how efficiently the non-systemic risk can be diversified and how …