Optimal reinsurance under the Haezendonck risk measure

In this work, we study the optimal reinsurance under the Haezendonck risk measure by minimizing the total risk of the insurer. Firstly, the optimal reinsurance model with the expectation premium principle is proposed. Then, on the basis of our model, the explicit solution is obtained, i.e. the stop-loss function. On the other hand, our result can be considered as a promotion of the optimal reinsurance under the CVaR risk measure since CVaR is only a specific case of the Haezendonck risk measure. (C) 2013 Elsevier B.V. All rights reserved.