Distributionally robust insurance under the Wasserstein distance
This paper explores optimal insurance contracting for a decision maker facing ambiguous loss distributions. Using a p-Wasserstein ball...
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5 avr.
Worst-Case Reinsurance Strategy with Likelihood Ratio Uncertainty
The study delves into optimizing reinsurance amidst uncertainty, aiming to minimize insurer's worst-case loss. It establishes a...
13 sept. 2022
Convex Risk Measures for the Aggregation of Multiple Information and Applications in Insurance
"The potential use of the proposed risk measures in insurance is illustrated by two concrete applications, capital risk allocation and...
25 mars 2022
Risk Measures: Robustness, Elicitability, and Backtesting
"...we argue that... the median shortfall—that is, the median of the tail loss distribution—is a better option than the expected...
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