Optimal reinsurance model becomes a popular research area in both academicians and practitioners. Essentially, an optimal reinsurance model is to determine the optimal partitioning of a risk between insurer and reinsurer. In this research, the structure of optimal reinsurance is from the insurer's perspective. Reinsurance is an insurance for the insurers. Meanwhile, the insurer's risk are determined by some tail risk measures, such as Value-at-Risk (VaR), Tail VaR (TVaR), and Modified Tail VaR (MTVaR). We propose parametric and non-parametric estimators of these risk measures. To illustrate the applicability of our results, we derive the optimal reinsurance explicitly for Quota-share reinsurance. © 2022 Author(s).