Recommendations
Cites work
- A discussion of parameter and model uncertainty in insurance
- A framework for optimization under ambiguity
- Ambiguity in portfolio selection
- An economic premium principle under the dual theory of the smooth ambiguity model
- Analytical Bounds for two Value-at-Risk Functionals
- Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
- Budget-constrained optimal insurance with belief heterogeneity
- Budget-constrained optimal insurance without the nonnegativity constraint on indemnities
- Coherent measures of risk
- Collective risk models with dependence uncertainty
- Controlling risk and demand ambiguity in newsvendor models
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Data-driven risk-averse stochastic optimization with Wasserstein metric
- Distortion risk measures, ambiguity aversion and optimal effort
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- scientific article; zbMATH DE number 5907985 (Why is no real title available?)
- Incorporating model uncertainty into optimal insurance contract design
- Knightian uncertainty and insurance regulation decision
- Model uncertainty in claims reserving within Tweedie's compound Poisson models
- On the rate of convergence in Wasserstein distance of the empirical measure
- Optimal insurance contracts under distortion risk measures with ambiguity aversion
- Optimal insurance under maxmin expected utility
- Optimal robust insurance with a finite uncertainty set
- Optimal Transport
- Optimal XL-insurance under Wasserstein-type ambiguity
- Parameter uncertainty in exponential family tail estimation
- Partial ambiguity
- Quantifying distributional model risk via optimal transport
- Range value-at-risk bounds for unimodal distributions under partial information
- Recovering best statistical guarantees via the empirical divergence-based distributionally robust optimization
- Risk bounds for factor models
- Robust Actuarial Risk Analysis
- Robust and Pareto optimality of insurance contracts
- Robust Mean-Covariance Solutions for Stochastic Optimization
- Robust risk measurement and model risk
- Robustifying convex risk measures for linear portfolios: a nonparametric approach
- Tail analysis without parametric models: a worst-case perspective
- Upper bounds for strictly concave distortion risk measures on moment spaces
- Worst VaR scenarios
- Worst VaR scenarios with given marginals and measures of association
- Worst-case range value-at-risk with partial information
Cited in
(6)- Worst-case large deviations upper bounds for i.i.d. sequences under ambiguity
- Asymptotics of the loss-based tail risk measures in the presence of extreme risks
- 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
- Tail similarity
- Distributionally robust optimization under ambiguity across two layers
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