Incorporating model uncertainty into optimal insurance contract design
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DOI: 10.1016/j.insmatheco.2016.11.008
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References listed on IDEAS
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Cited by:
- Corina Birghila & Tim J. Boonen & Mario Ghossoub, 2020. "Optimal Insurance under Maxmin Expected Utility," Papers 2010.07383, arXiv.org.
- Liu, Haiyan & Mao, Tiantian, 2022. "Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 393-417.
- Birghila, Corina & Pflug, Georg Ch., 2019. "Optimal XL-insurance under Wasserstein-type ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 30-43.
- Stefan Hochrainer-Stigler & Juraj Balkovič & Kadri Silm & Anna Timonina-Farkas, 2019. "Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria," Computational Management Science, Springer, vol. 16(4), pages 651-669, October.
- Corina Birghila & Tim J. Boonen & Mario Ghossoub, 2023. "Optimal insurance under maxmin expected utility," Finance and Stochastics, Springer, vol. 27(2), pages 467-501, April.
- Jun Cai & Zhanyi Jiao & Tiantian Mao, 2024. "Worst-case values of target semi-variances with applications to robust portfolio selection," Papers 2410.01732, arXiv.org, revised Oct 2024.
- Boonen, Tim J. & Jiang, Wenjun, 2024. "Robust insurance design with distortion risk measures," European Journal of Operational Research, Elsevier, vol. 316(2), pages 694-706.
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Keywords
Insurance optimization; Model error; Minimax solution; Distributional robustness; Wasserstein distance;All these keywords.
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