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2 résultats pour « Wasserstein distance »

Distributionally robust insurance under the Wasserstein distance

4 oct. 2024 Autre, robustness, Wasserstein distance, Optimal insurance, Glue-VaR, distortion risk measure

This paper explores optimal insurance contracting for a decision maker facing ambiguous loss distributions. Using a p-Wasserstein ball around a benchmark distribution and a convex distortion risk measure, the indemnity function and worst-case distribution are derived. Numerical examples highlight the sensitivity of worst-case distributions to model parameters.Distributionally robust insurance under the Wasserstein distance

Robust convex risk measures

21 juin 2024 Autre, Uncertainty, Wasserstein distance, Convex analysis, Partial information, Robustness, Risk measures, Quantification des risques

"We study the general properties of robust convex risk measures as worst-case values under uncertainty on random variables. We establish general concrete results regarding convex conjugates and sub-differentials. We refine some results for closed forms of worstcase law invariant convex risk measures under two concrete cases of uncertainty sets for random variables: based on the first two moments and Wasserstein balls."

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