Worst-case risk with unspecified risk preferences

DOI10.1016/J.INSMATHECO.2024.03.003MaRDI QIDQ6543159zbMATH OpenFDO

Authors Haiyan Liu

Publication date 24 May 2024

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.INSMATHECO.2024.03.003

zbMATH Keywords

concavitydistortion risk measurepreference robustvalue-at-risk

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

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Cites work

• Asymptotic equivalence of risk measures under dependence uncertainty
• Axiomatic characterization of insurance prices
• Coherent measures of risk
• Concave distortion risk minimizing reinsurance design under adverse selection
• Convex functions and their applications. A contemporary approach
• Marginal indemnification function formulation for optimal reinsurance
• Maxmin under risk
• Measuring beliefs under ambiguity
• On Pareto-optimal reinsurance with constraints under distortion risk measures
• Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
• Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs
• Optimal XL-insurance under Wasserstein-type ambiguity
• Remarks on quantiles and distortion risk measures
• Risk-adjusted bowley reinsurance under distorted probabilities
• Robust return risk measures
• Robust spectral risk optimization when information on risk spectrum is incomplete
• Shortfall Risk Models When Information on Loss Function Is Incomplete
• The Dual Theory of Choice under Risk
• Weighted comonotonic risk sharing under heterogeneous beliefs

Cited in

(1)

• On expectiles and almost stochastic dominance

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