The Optimal Safety Loading Factor Based on the Principle of Distorted Risk Measurement and Distorted Premium

In this paper, the optimal safety loading that the reinsurer should set in the reinsurance pricing is studied. We assume that the insurer chooses the specific form of the loss function according to the result of Cai 等¹, and assume that the loss faced by the insurer follows the zero-modified exponential distribution. We study the optimal safety loading of reinsurance premium principle with distortion risk measures and distortion premium principle. When the distortion risk measures is specified to be the value at risk (VaR) risk measure and conditional tail expectation (CTE) risk measure, and the distortion premium principle is specified to be the expectation premium principle, we study the optimal safety loading of reinsurance premium principle, respectively.