Optimal Reinsurance Wtih General Risk Functions

The paper studies the optimal reinsurance problem if the risk level is measured by a general risk function. Necessary and sufficient optimality conditions are given for a wide family of risk functions, including Deviation Measures, Expectation Bounded Risk Measures and Coherent Measures of Risk. Then the optimality conditions are used to verify whether the classical reinsurance contracts (quota-share, stop-loss) are optimal regardless of the risk function to be used, and the paper ends by particularizing the findings so as to study in detail two deviation measures and the Conditional Value at Risk.

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