Optimal Limited Stop-Loss Reinsurance under VaR, TVaR, and CTE Risk Measures

<div>When <svg height="9.49473pt" id="M215" style="vertical-align:-0.2063999pt" version="1.1" viewbox="-0.0498162 -9.28833 7.34169 9.49473" width="7.34169pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M530 686C535 705 530 712 521 712C504 712 448 684 359 674L358 648H393C437 648 439 646 429 593L400 435C372 447 345 448 332 448C286 448 194 414 144 373C68 311 23 203 23 111C23 26 57 -12 91 -12C120 -12 147 3 188 29C227 54 290 102 341 170H343L322 71C308 6 320 -12 341 -12C373 -12 442 27 501 96L485 120C455 91 422 67 408 67C401 67 401 76 404 91C440 294 479 473 530 686ZM387 375L355 241C326 187 200 53 142 53C126 53 109 73 109 130C109 217 154 337 218 381C240 396 265 404 297 404S372 390 387 375Z" id="g113-101"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="555" vert-adv-y="555"></glyph.data></g></svg> is given, <svg height="11.5695pt" id="M216" style="vertical-align:-3.18152pt" version="1.1" 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-12L433 39ZM275 84C256 65 221 48 195 48C164 48 124 73 124 124C124 161 146 180 185 198C206 208 254 229 275 240V84Z" id="g121-95"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="439" vert-adv-y="439"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,13.554,0)"><path d="M631 18C609 24 585 35 559 65C534 91 514 117 478 169C448 214 406 281 389 313C462 346 516 399 516 485C516 545 490 590 449 616C412 641 363 650 290 650H42V622C120 615 128 612 128 527V125C128 40 120 34 38 28V0H300V28C221 34 212 40 212 125V284H244C295 284 312 272 329 244C359 195 395 133 430 84C475 19 516 -3 592 -7C603 -8 615 -8 627 -8L631 18ZM212 316V563C212 591 215 602 223 607C231 613 248 617 277 617C352 617 423 577 423 469C423 415 407 375 368 345C343 324 310 316 260 316H212Z" id="g121-80"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="621" vert-adv-y="621"></glyph.data></g><g transform="matrix(.0091,0,0,-0.0091,21.844,3.132)"><path d="M655 676H628C608 656 600 650 571 650H156C118 650 114 651 102 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horiz-adv-x="617" vert-adv-y="617"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,8.373,0)"><path d="M687 650H462V622C543 612 549 605 530 547C498 447 422 252 372 126H370C302 298 229 492 204 563C188 607 191 615 262 622V650H17V622C77 616 93 608 122 534C180 389 262 172 329 -11H360C436 196 541 450 568 516C606 605 619 614 687 622V650Z" id="g121-84"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="703" vert-adv-y="703"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,16.22,0)"><path d="M433 39L423 65C413 59 399 54 387 54C370 54 352 69 352 114V299C352 352 342 392 307 422C285 440 255 449 225 449C168 437 102 399 75 379C56 365 44 353 44 339C44 315 69 296 87 296C101 296 111 303 116 319C124 349 133 371 145 385C156 397 171 404 190 404C241 404 275 364 275 291V274C253 256 180 229 120 209C65 190 39 159 39 110C39 47 88 -12 159 -12C189 -12 237 25 277 52C282 35 288 21 301 8C312 -3 333 -12 348 -12L433 39ZM275 84C256 65 221 48 195 48C164 48 124 73 124 124C124 161 146 180 185 198C206 208 254 229 275 240V84Z" id="g121-95"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="439" vert-adv-y="439"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,21.928,0)"><path d="M631 18C609 24 585 35 559 65C534 91 514 117 478 169C448 214 406 281 389 313C462 346 516 399 516 485C516 545 490 590 449 616C412 641 363 650 290 650H42V622C120 615 128 612 128 527V125C128 40 120 34 38 28V0H300V28C221 34 212 40 212 125V284H244C295 284 312 272 329 244C359 195 395 133 430 84C475 19 516 -3 592 -7C603 -8 615 -8 627 -8L631 18ZM212 316V563C212 591 215 602 223 607C231 613 248 617 277 617C352 617 423 577 423 469C423 415 407 375 368 345C343 324 310 316 260 316H212Z" id="g121-80"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="621" vert-adv-y="621"></glyph.data></g><g transform="matrix(.0091,0,0,-0.0091,30.247,3.132)"><path d="M655 676H628C608 656 600 650 571 650H156C118 650 114 651 102 676H77C63 615 45 548 24 485L60 486C81 531 97 562 114 580C134 603 148 611 252 611H308L217 127C201 41 196 38 105 32L98 0H384L393 32C300 38 288 41 304 127L393 611H466C553 611 571 604 582 580C592 559 597 530 595 485L630 489C636 548 645 624 655 676Z" id="g50-85"></path><glyph.data ascent="3443" descent="-2856" horiz-adv-x="673" vert-adv-y="673"></glyph.data></g></svg> satisfy (<a href="https://static.hindawi.com/articles/mpe/volume-2015/143739/figures/#EEq19">20</a>).</div>

Mathematical Problems in Engineering

fig4

Figure 4

Figure 4: Optimal Limited Stop-Loss Reinsurance under VaR, TVaR, and CTE Risk Measures 