Worst-case reinsurance strategy with likelihood ratio uncertainty
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20260001951 | ||
| 003 | MAP | ||
| 005 | 20260202115033.0 | ||
| 008 | 260202e20250915bel|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20080650049$aLandriault, David | ||
| 245 | 1 | 0 | $aWorst-case reinsurance strategy with likelihood ratio uncertainty$cDavid Landriault, Fangda Liu and Ziyue Shi |
| 520 | $aThis paper studies a non-cooperative optimal reinsurance problem under likelihood-ratio model uncertainty, focusing on minimizing the insurer's worst-case retained loss. It establishes a general link between the optimal reinsurance strategy under a reference probability measure and its counterpart in the worst-case scenario, a result that extends to insurance design problems using tail risk measures. The paper also identifies distortion risk measures for which the optimal strategy remains unchanged under worst-case conditions. As an application, optimal reinsurance policies are derived using an expectile risk measure. In addition, a cooperative framework is examined, interpreting reinsurance as a risk-sharing problem in a comonotonic setting, and comparing optimal strategies and risk values between the cooperative and non-cooperative models | ||
| 650 | 4 | $0MAPA20080600501$aContrato de reaseguro | |
| 650 | 4 | $0MAPA20090025479$aDistribución de pérdidas | |
| 650 | 4 | $0MAPA20080602529$aMercado de reaseguros | |
| 650 | 4 | $0MAPA20080565992$aIncertidumbre | |
| 650 | 4 | $0MAPA20250003316$aGestión de riesgos | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080592042$aModelos matemáticos | |
| 650 | 4 | $0MAPA20090033023$aEstadística matemática | |
| 650 | 4 | $0MAPA20080610319$aDistribución de riesgos | |
| 700 | 1 | $0MAPA20160014297$aLiu, Fangda | |
| 700 | 1 | $0MAPA20260001555$aShi, Ziyue | |
| 710 | 2 | $0MAPA20100017661$aInternational Actuarial Association | |
| 773 | 0 | $wMAP20077000420$g15/09/2025 Volume 55 Issue 3 - September 2025 , p. 492- 513$x0515-0361$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association |