Distributionally Robust Reinsurance with Glue Value-at-Risk and Expected Value Premium

Distributionally Robust Reinsurance with Glue Value-at-Risk and Expected Value Premium

In this paper, we explore a distributionally robust reinsurance problem that incorporates the concepts of Glue Value-at-Risk and the expected value premium principle. The problem focuses on stop-loss reinsurance contracts with known mean and variance of the loss. The optimization problem can be form...

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Bibliographic Details
Main Authors: Wenhua Lv, Linxiao Wei
Format: Article
Language:English
Published: MDPI AG 2023-09-01
Series:Mathematics
Subjects:
glue value-at-risk
distributional robustness reinsurance
uncertainty
four-point distribution
stop-loss
Online Access:https://www.mdpi.com/2227-7390/11/18/3923

Internet

https://www.mdpi.com/2227-7390/11/18/3923

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