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4 résultats pour « robustness »

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

Worst‑Case Reinsurance Strategy with Likelihood Ratio Uncertainty

5 avr. 2024 Autre, robustness, expectile, likelihood ratio uncertainty, tail risk measures, Worst-case scenario

The study delves into optimizing reinsurance amidst uncertainty, aiming to minimize insurer's worst-case loss. It establishes a connection between optimal strategies under a reference measure and those in worst-case scenarios, applicable to tail risk quantification. Conditions for common optimal solutions are provided, with applications to expectile risk measures explored. Cooperative and non-cooperative models are compared.

Convex Risk Measures for the Aggregation of Multiple Information and Applications in Insurance

13 sept. 2022 Autre, riskmanagement, insurance, uncertainty, model, riskmeasures, capitalallocation, robustness, aggregation, premiacalculation

"The potential use of the proposed risk measures in insurance is illustrated by two concrete applications, capital risk allocation and premia calculation under uncertainty."

Risk Measures: Robustness, Elicitability, and Backtesting

25 mars 2022 Autre, riskmanagement, capitalrequirements, basel, tailrisk, robustness, backtesting

"...we argue that... the median shortfall—that is, the median of the tail loss distribution—is a better option than the expected shortfall for setting the Basel Accords capital requirements due to statistical and economic considerations such as capturing tail risk, robustness, elicitability, backtesting, and surplus invariance."

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