References
- Albrecher H., Beirlant J. & Teugels J. L. (2017). Reinsurance: actuarial and statistical aspects. Hoboken, NJ: Wiley.
- Anderson E. J. & Nash P. (1987). Linear programming in infinite dimensional spaces. Chichester: John Wiley & Sons.
- Artzner P., Delbaen F., Eber J. M. & Heath D. (1999). Coherent measures of risk. Mathematical Finance 9, 203–228.
- Asimit A. V., Bignozzi V., Cheung K. C., Hu J. & Kim E. S. (2017). Robust and Pareto optimality of insurance contracts. European Journal of Operational Research 262, 720–732.
- Balbás A. & Balbás R. (2009). Compatibility between pricing rules and risk measures: the CCVaR. Revista De La Real Academia De Ciencias, RACSAM 103, 251–264.
- Balbás A., Balbás B. & Balbás R. (2010a). CAPM and APT-like models with risk measures. Journal of Banking & Finance 34, 1166–1174.
- Balbás A., Balbás B. & Balbás R. (2019). Golden options in financial mathematics. Mathematics and Financial Economics 13, 637–659.
- Balbás A., Balbás B., Balbás R. & Heras A. (2015). Optimal reinsurance under risk and uncertainty. Insurance: Mathematics and Economics 60, 61–74.
- Balbás A., Balbás B., Balbás R. & Heras A. (2022). Risk transference constraints in optimal reinsurance. Insurance: Mathematics and Economics 103, 27–40.
- Balbás A., Balbás R. & Garrido J. (2010b). Extending pricing rules with general risk functions. European Journal of Operational Research 201, 23–33.
- Bäuerle N. & Leimcke G. (2021). Robust optimal investment and reinsurance problems with learning. Scandinavian Actuarial Journal 2, 82–109.
- Bernardo A. E. & Ledoit O. (2000). Gain, loss, and asset pricing. Journal of Political Economy 108, 144–172.
- Biagini S. & Pinar M. C. (2013). The best gain-loss ratio is a poor performance measure. SIAM Journal of Financial Mathematics 4, 228–242.
- Boonen T. J. & Jiang W. (2022). Pareto-optimal reinsurance with default risk and solvency regulation. Probability in the Engineering and Informational Sciences, forthcoming.
- Carr P., Geman H. & Madan D. (2001). Pricing and hedging in incomplete markets. Journal of Financial Economics 62, 131–167.
- Chen Z. & Yang P. (2020). Robust optimal reinsurance–investment strategy with price jumps and correlated claims. Insurance: Mathematics and Economics 92, 27–46.
- Cheung K. C., Chong W. F. & Lo A. (2019). Budget-constrained optimal reinsurance design under coherent risk measure. Scandinavian Actuarial Journal 9, 729–751.
- Cochrane J. H. & Saa-Requejo J. (2000). Beyond arbitrage: good deal asset price bounds in incomplete markets. Journal of Political Economy 108, 79–119.
- Dhaene J., Stassen B., Barigou K., Linders D. & Chen Z. (2017). Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency. Insurance: Mathematics and Economics 76, 14–27.
- Durrett R. (2010). Probability: theory and examples, 4th ed. London: Cambridge University Press.
- Gerber H. U. & Shiu E. S. W. (1994). Option pricing by Esscher transforms (with discussion). Transactions of Society of Actuaries 46, 99–191.
- Hamada M. & Sherris M. (2003). Contingent claim pricing using probability distortion operators: method from insurance risk pricing and their relationship to financial theory. Applied Mathematical Finance 10, 19–47.
- Jouini E. & Kallal H. (2001). Efficient trading strategies in presence of market frictions. Review of Financial Studies 14, 343–369.
- Koch-Medina P., Munari C. & Šikić M. (2017). Diversification, protection of liability holders and regulatory arbitrage. Mathematics and Financial Economics 11, 63–83.
- Kopp P. E. (1984). Martingales and stochastic integrals. London: Cambridge University Press.
- Lia D., Zeng Y. & Yang H. (2018). Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. Scandinavian Actuarial Journal 2, 145–171.
- Luenberger D. G. (1969). Optimization by vector spaces methods. New York: John Wiley & Sons.
- Nakano Y. (2004). Efficient hedging with coherent risk measure. Journal of Mathematical Analysis and Applications 293, 345–354.
- Pelsser A. & Stadje M. (2014). Time-consistent and market-consistent evaluations. Mathematical Finance 24, 25–65.
- Rockafellar R. T., Uryasev S. & Zabarankin M. (2006). Generalized deviations in risk analysis. Finance & Stochastics 10, 51–74.
- Stoica G. & Li D. (2010). Relevant mappings. Journal of Mathematical Analysis and Applications 366, 124–127.
- Wang S. S. (2000). A class of distortion operators for pricing financial and insurance risks. Journal of Risk and Insurance 67, 15–36.
- Xu M. (2006). Risk measure pricing and hedging in incomplete markets. Annals of Finance 2, 51–71.
- Yi B., Viens F., Li Z. & Zeng Y. (2015). Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria. Scandinavian Actuarial Journal 8, 725–751.
- Z aˇlinescu C. (2002). Convex analysis in general vector spaces. River Edge, NJ: World Scientific Publishing Co.
- Zeidler E. (1995). Applied functional analysis: main principles and their applications. New York: Springer.
- Zhang N., Jin Z., Qian L. & Wang R. (2018). Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer. Journal of Computational and Applied Mathematics 342, 337–351.
- Zhuang S. C., Boonen T. J., Tan K. S. & Xu Z. Q. (2017). Optimal insurance in the presence of reinsurance. Scandinavian Actuarial Journal 6, 535–554.