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Worst-case Risk Measures of Stop-Loss and Limited Loss Random Variables Under Distribution Uncertainty With Applications to Robust Reinsurance

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modelling problems in insurance, finance, and other fields. Risk levels of a loss variable and its transforms are often measured … by risk measures. When only partial information on a loss variable is available, risk measures of the loss variable and …-case values of risk measures of a loss variable over an uncertainty set, describing all the possible distributions of the loss …

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Compound unimodal distributions for insurance losses

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Aggregation of randomly weighted large risks

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A limit distribution of credit portfolio losses with low default probabilities

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Bank insolvency risk and Z-score measures : a refinement

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