Decision-makers who usually face model/parameter risk may prefer to act prudently by identifying optimal contracts that are robust to such sources of uncertainty. In this paper, we tackle this issue under a finite uncertainty set that contains a number of probability models that are candidates...

Capital efficiency and asset/liability management are part of the Enterprise Risk Management Process of any insurance/reinsurance conglomerate and serve as quantitative methods to fulfill the strategic planning within an insurance organisation. There has been a considerable amount of work in...