scenarios. Insurance companies carry the risk of losses in exchange for a premium, which depends on the loss distribution … model ambiguity. First of all, we study the theoretical properties of the distortion principle for insurance pricing. We …: the average value-at-risk and power distortion principle. In the second part of this thesis, we bring together insurance …

This research studies a dynamic reinsurance model for an ambiguity-averse insurer. The insurer can manage its risk … exposure through the purchase of reinsurance and the issuance of catastrophe bonds (CAT bonds) which are linked to an exogenous …

and retrocession practices in the reinsurance industry expose different reinsurers to the same subexponential risks on …