Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance
Jun Cai, Fangda Liu, Mingren Yin
| Year of publication: |
2024
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|---|---|
| Authors: | Cai, Jun ; Liu, Fangda ; Yin, Mingren |
| Published in: |
European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 318.2024, 1 (1.10.), p. 310-326
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| Subject: | Distortion risk measure | Min-max problem | Robust stop-loss reinsurance | Uncertainty set | Wasserstein distance | Rückversicherung | Reinsurance | Risiko | Risk | Theorie | Theory | Risikomaß | Risk measure | Risikomodell | Risk model | Robustes Verfahren | Robust statistics | Messung | Measurement | Entscheidung unter Unsicherheit | Decision under uncertainty | Risikomanagement | Risk management | Wahrscheinlichkeitsrechnung | Probability theory | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2024.03.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015047732