Motivated by reinsurance applications, we consider an optimal risk sharing problem for individual risks. In a framework where the market participants’ preferences are according to the sub-additive and law-invariant risk measures, first we characterize the optimal individual risk sharing allocations. Then, we introduce a Choquet risk measure, associated with a given law-invariant coherent risk measure and, by using that, we characterize the optimal risk sharing allocations for the individual risks.