In this paper we focus on robust linear optimization problems with uncertainty regions defined by ø-divergences (for example, chi-squared, Hellinger, Kullback-Leibler). We show how uncertainty regions based on ø-divergences arise in a natural way as confidence sets if the uncertain parameters...

In this paper we consider ambiguous stochastic constraints under partial information consisting of means and dispersion measures of the underlying random parameters. Whereas the past literature used the variance as the dispersion measure, here we use the mean absolute deviation from the mean...

Payments of life insurance products depend on the uncertain future evolution of survival probabilities. This uncertainty is referred to as longevity risk. Existing literature shows that the effect of longevity risk on single life annuities can be substantial, and that there exists a (natural)...