Distributionally robust goal-reaching optimization in the presence of background risk
From MaRDI portal
(Redirected from Publication:5043475)
Abstract: In this paper, we examine the effect of background risk on portfolio selection and optimal reinsurance design under the criterion of maximizing the probability of reaching a goal. Following the literature, we adopt dependence uncertainty to model the dependence ambiguity between financial risk (or insurable risk) and background risk. Because the goal-reaching objective function is non-concave, these two problems bring highly unconventional and challenging issues for which classical optimization techniques often fail. Using quantile formulation method, we derive the optimal solutions explicitly. The results show that the presence of background risk does not alter the shape of the solution but instead changes the parameter value of the solution. Finally, numerical examples are given to illustrate the results and verify the robustness of our solutions.
Recommendations
- Maximizing a robust goal-reaching probability with penalization on ambiguity
- Optimal incentive-compatible insurance with background risk
- Optimal insurance with background risk: an analysis of general dependence structures
- Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
Cites work
- A note on the quantile formulation
- A review on ambiguity in stochastic portfolio optimization
- A robust Markowitz mean-variance portfolio selection model with an intractable claim
- Aggregation-robustness and model uncertainty of regulatory risk measures
- Asymptotic equivalence of risk measures under dependence uncertainty
- Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- CDF formulation for solving an optimal reinsurance problem
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Correlated risks, bivariate utility and optimal choices
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- Dual utilities on risk aggregation under dependence uncertainty
- Dynamic portfolio choice when risk is measured by weighted VaR
- Empirical approach for optimal reinsurance design
- Estimates for the Distribution Function of a Sum of Two Random Variables When the Marginal Distributions are Fixed
- Good deals and benchmarks in robust portfolio selection
- scientific article; zbMATH DE number 16826 (Why is no real title available?)
- scientific article; zbMATH DE number 3061365 (Why is no real title available?)
- Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
- On the construction of optimal payoffs
- Optimal Control of Favorable Games with a Time Limit
- Optimal insurance design under rank-dependent expected utility
- Optimal insurance under rank-dependent utility and incentive compatibility
- Optimal insurance under Wang's premium principle.
- Optimal insurance with background risk: an analysis of general dependence structures
- Optimal insurance with belief heterogeneity and incentive compatibility
- Optimal payoffs under state-dependent preferences
- Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
- Optimal reinsurance with general premium principles
- Optimal risk sharing with background risk
- Portfolio choice via quantiles
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Quantitative risk management. Concepts, techniques and tools
- Random variables with maximum sums
- Reaching goals by a deadline: digital options and continuous-time active portfolio management
- Risk aggregation with dependence uncertainty
- Risk Vulnerability and the Tempering Effect of Background Risk
- Risk-constrained dynamic active portfolio management
- Risk, ambiguity and the Savage axioms
- Robust and Pareto optimality of insurance contracts
- Robust fractional programming
- Standard Risk Aversion
- The concept of comonotonicity in actuarial science and finance: applications.
- The economics of risk and time
- VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
- Worst VaR scenarios
- Worst-case conditional value-at-risk with application to robust portfolio management
Cited in
(6)- Inseparable robust reward-risk optimization models with distribution uncertainty
- Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
- Optimal allocation of policy limits in layer reinsurance treaties
- Behavioral robust mean-variance portfolio selection with an intractable claim
- Optimal reinsurance with multivariate risks and dependence uncertainty
- Robust Risk Control with Reinsurance and CAT Bonds
This page was built for publication: Distributionally robust goal-reaching optimization in the presence of background risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5043475)
