Centro de Documentacion de Fundación MAPFRE - Worst-case reinsurance strategy with likelihood ratio uncertainty

MAP20260001951

Worst-case reinsurance strategy with likelihood ratio uncertainty / David Landriault, Fangda Liu and Ziyue Shi

Sumario: This 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

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 15/09/2025 Volume 55 Issue 3 - September 2025 , p. 492- 513

1. Contrato de reaseguro . 2. Distribución de pérdidas . 3. Mercado de reaseguros . 4. Incertidumbre . 5. Gestión de riesgos . 6. Cálculo actuarial . 7. Modelos matemáticos . 8. Estadística matemática . 9. Distribución de riesgos . I. Liu, Fangda . II. Shi, Ziyue . III. International Actuarial Association . IV. Título.