Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance (Q6982844)
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scientific article; zbMATH DE number 8041822
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| English | Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance |
scientific article; zbMATH DE number 8041822 |
Statements
Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance (English)
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16 May 2025
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uncertainty set
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Wasserstein distance
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distortion risk measure
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min-max problem
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robust stop-loss reinsurance
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