Worst-case distortion risk measures of transformed losses with uncertain distributions lying in Wasserstein balls
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20260002095 | ||
| 003 | MAP | ||
| 005 | 20260205101743.0 | ||
| 008 | 260202e20260115bel|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20080650704$aCai, Jun | ||
| 245 | 1 | 0 | $aWorst-case distortion risk measures of transformed losses with uncertain distributions lying in Wasserstein balls$cJun Cai, Fangda Liu and Mingren Yin |
| 520 | $aThis 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 | ||
| 650 | 4 | $0MAPA20250003316$aGestión de riesgos | |
| 650 | 4 | $0MAPA20080610319$aDistribución de riesgos | |
| 650 | 4 | $0MAPA20080565992$aIncertidumbre | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080592042$aModelos matemáticos | |
| 700 | 1 | $0MAPA20160014297$aLiu, Fangda | |
| 700 | 1 | $0MAPA20260001685$aYin, Mingren | |
| 710 | 2 | $0MAPA20100017661$aInternational Actuarial Association | |
| 773 | 0 | $wMAP20077000420$g19/01/2026 Volume 56 Issue 1 - January 2026 , p. 270 - 294$x0515-0361$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association |