out some key issues on how the credit risk associated to these products can be reduced and, finally, in the last section …

hypothetical CAT bond issued for the period 1999-2003. As a result, by transferring the risk to the capital market, investors could …, this risk can be transferred to capital market investors through CAT bonds, which have never been used for this purpose in …

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 reinsurance policies by solving the dual problem and we will see that the …