Worst-case distortion risk measures of transformed losses with uncertain distributions lying in Wasserstein balls

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<dc:creator>Cai, Jun</dc:creator>
<dc:creator>Liu, Fangda</dc:creator>
<dc:creator>Yin, Mingren</dc:creator>
<dc:creator>International Actuarial Association</dc:creator>
<dc:date>2026-01-15</dc:date>
<dc:description xml:lang="es">Sumario: This paper studies the worst-case distortion risk measures of the limited stop-loss transformtogether with its special cases, the stop-loss and limited loss transformswhen the underlying loss distribution is uncertain and lies within a general kkk-order Wasserstein ball around a reference distribution. We derive explicit expressions for these worst-case risk measures and identify the corresponding worst-case distributions. Our results also recover the findings of Guan et al. (2023) on worst-case stop-loss premiums under Wasserstein uncertainty. Numerical examples illustrate the worst-case distributions and risk measures, and we examine how the reference distribution, the Wasserstein ball radius, and the retention levels affect premiums for limited stop-loss reinsurance</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/189437.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Gestión de riesgos</dc:subject>
<dc:subject xml:lang="es">Distribución de riesgos</dc:subject>
<dc:subject xml:lang="es">Incertidumbre</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Modelos matemáticos</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Worst-case distortion risk measures of transformed losses with uncertain distributions lying in Wasserstein balls</dc:title>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 19/01/2026 Volume 56 Issue 1 - January 2026 , p.  270 - 294</dc:relation>
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