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
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
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