"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."
top of page
Rechercher
Posts récents
Voir tout“As analysts are primary recipients of these reports, we investigate whether and how analyst forecast properties have changed following...
This study proposes a new method for detecting insider trading. The method combines principal component analysis (PCA) with random forest...
Cyber risk classifications often fail in out-of-sample forecasting despite their in-sample fit. Dynamic, impact-based classifiers...
bottom of page
Comments