1 résultat pour « Lambda-Value-at-Risk »

Optimal insurance design with Lambda‑Value‑at‑Risk

The paper examines optimal insurance solutions using $\Lambda\VaR$. It finds truncated stop-loss indemnity optimal with the expected value premium principle and provides a deductible parameter expression. Using $\Lambda'\VaR$, full or no insurance is optimal. It also addresses model uncertainty, offering solutions for various uncertainty scenarios.