@article {26162,
	title = {Average Value-at-Risk minimizing reinsurance under Wang\’spremium principle with constraints},
	journal = {ASTIN Bulletin},
	volume = {42},
	year = {2012},
	pages = {575-600},
	abstract = {In the present work, we study the optimal reinsurance decision problem in which the Average Value-at-Risk of the retained loss is minimized under Wang{\textquoteright}s premium principle and is also subject to either (1) a budget constraint on reinsurance premium, or (2) a reinsurer{\textquoteright}s probabilistic benchmark constraint of his potential loss. We show that the optimal reinsurance is a single-insurance layer under Constraint (1), and a cap insurance or a double-insurance layer under Constraint (2); moreover, under Constraint (2), we further establish that under most common circumstances (see Remark after Theorem 3), a cap insurance will suffice to be optimal. Finally, some numerical illustrations will be provided.},
	url = {https://www.cambridge.org/core/journals/astin-bulletin-journal-of-the-iaa/article/average-valueatrisk-minimizing-reinsurance-under-wangs-premium-principle-with-constraints/DCE7FD3CC893538369FA555A3582C11A},
	author = {Cheung, K. C. and Liu, Fangda and Yam, S. C. Phillip}
}