Pareto-Optimal Reinsurance Policies under TrTVaR Risk Measure

In this paper, we consider the problem of optimal reinsurance design, when risk is measured by TrTVaR measure. We study models from perspectives both insurers and reinsurers. To reduce ex-post moral hazard, assume that contracts satisfy principle indemnity incentive-compatible constraint. When losses an insurer a reinsurer are measures, obtain explicit forms Pareto-optimal under expected value premium TVaR principle, respectively.