Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
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Publication:2682997
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Cites work
- Distributionally Robust Convex Optimization
- Distributionally robust optimization and its tractable approximations
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- scientific article; zbMATH DE number 3130649 (Why is no real title available?)
- Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
- Incorporating model uncertainty into optimal insurance contract design
- Inf-convolution of risk measures and optimal risk transfer
- Optimal capital and risk allocations for law- and cash-invariant convex functions
- Optimal insurance contracts under distortion risk measures with ambiguity aversion
- Optimal insurance design under rank-dependent expected utility
- Optimal insurance under rank-dependent utility and incentive compatibility
- Optimal Reinsurance Revisited – A Geometric Approach
- Optimal reinsurance under general law-invariant risk measures
- Optimal reinsurance under VaR and CTE risk measures
- Optimal reinsurance with model uncertainty and Stackelberg game
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Optimal retention for a stop-loss reinsurance with incomplete information
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- Quantile-based risk sharing
- Robust and Pareto optimality of insurance contracts
- Robust portfolio control with stochastic factor dynamics
- Tail analysis without parametric models: a worst-case perspective
- Technical note: closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
- Technical Note—Minimax Procedure for a Class of Linear Programs under Uncertainty
- Tractable robust expected utility and risk models for portfolio optimization
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
Cited in
(11)- Distributionally robust reinsurance with expectile
- Robust insurance design with distortion risk measures
- Worst-case distortion risk measures of transformed losses with uncertain distributions lying in Wasserstein balls
- Worst-case values of target semi-variances with applications to robust portfolio selection
- Optimal insurance design with lambda-value-at-risk
- Worst-case reinsurance strategy with likelihood ratio uncertainty
- A nonparametric test for stop-loss order
- Pareto-optimal insurance under robust distortion risk measures
- Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance
- Distributionally robust insurance under the Wasserstein distance
- Optimal Reinsurance Design under Ambiguity and Value-at-Risk Preference with Wasserstein and L k Distance Metrics
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