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Two subproblems are faced by the insurer and the reinsurer in turn. Firstly, the optimal ceded loss function is highlighted when the insurer is tasked with minimizing her retained risk quantified by the VaR measure, irrespective of any initial capital specified by the reinsurer. To address the reinsurer's concerns, the optimal pricing function is computed by minimizing his total risk, considering the insurer's choice on the optimal ceded loss function. After recalling the main notations and definitions, the the optimization problems are described. Then, the optimal ceded loss function for the insurer is derived, as well as the optimal pricing function when the reinsurer adopts VaR measure, providing the Bowley solution under the reinsurer's default risk. The exact expressions of ceded loss functions is obtained when the reinsurer adopts VaR or TVaR to set the initial capital and the expected-value premium principle is the basis for charging the reinsurance premium. Finally, the main results are depicted in numerical examples. 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