In this paper, we study the optimal reinsurance contracts that minimize the convex combination of the Conditional Value-at-Risk (CVaR) of the insurer’s loss and the reinsurer’s loss over the class of ceded loss functions such that the retained loss function is increasing and the ceded loss function satisfies Vajda condition. Among a general class of reinsurance premium principles that satisfy the properties of risk loading and convex order preserving, the optimal solutions are obtained. Our results show that the optimal ceded loss functions are in the form of five interconnected segments for general reinsurance premium principles, and they can be further simplified to four interconnected segments if more properties are added to reinsurance premium principles. Finally, we derive optimal parameters for the expected value premium principle and give a numerical study to analyze the impact of the weighting factor on the optimal reinsurance.

在本文中，我们研究了最优再保险合同，该合同将保险人损失的条件风险价值（CVaR）和再保险人损失的凸组合最小化，使其分保损失函数类别更大，从而使保留损失函数不断增加，割让损失函数满足Vajda条件。在满足风险负担和凸订单保全性质的再保险保费一般原则中，获得了最优解。我们的结果表明，对于一般再保险费率原则，最优分割损失函数采用五个相互关联的部分的形式，如果在再保险费率原则上增加了更多属性，则可以将其进一步简化为四个相互联系的部分。最后，