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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-09-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/11/18/3923 |