Worst-case reinsurance strategy with likelihood ratio uncertainty

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<dc:creator>Landriault, David</dc:creator>
<dc:creator>Liu, Fangda</dc:creator>
<dc:creator>Shi, Ziyue</dc:creator>
<dc:creator>International Actuarial Association</dc:creator>
<dc:date>2025-09-15</dc:date>
<dc:description xml:lang="es">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</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/189423.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">Contrato de reaseguro</dc:subject>
<dc:subject xml:lang="es">Distribución de pérdidas</dc:subject>
<dc:subject xml:lang="es">Mercado de reaseguros</dc:subject>
<dc:subject xml:lang="es">Incertidumbre</dc:subject>
<dc:subject xml:lang="es">Gestión de riesgos</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Modelos matemáticos</dc:subject>
<dc:subject xml:lang="es">Estadística matemática</dc:subject>
<dc:subject xml:lang="es">Distribución de riesgos</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Worst-case reinsurance strategy with likelihood ratio uncertainty</dc:title>
<dc:relation xml:lang="es">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</dc:relation>
</rdf:Description>
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