Distributionally Robust Reinsurance with Value‑at‑Risk and Conditional Value‑at‑Risk
"Our model handles typical stop‑loss reinsurance contracts. We show that a three‑point distribution achieves the worst‑case VaR of the total retained loss of the insurer, from which the closed‑form solutions of the worst‑case distribution and optimal deductible are obtained. Moreover, we show that the worst‑case Conditional Value‑at‑Risk of the total retained loss of the insurer is equal to the worst‑case VaR, and thus the optimal deductible is the same in both cases."