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

Notas: 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 modelsRegistros relacionados: 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- 513Materia / lugar / evento: Contrato de reaseguro Distribución de pérdidas Mercado de reaseguros Incertidumbre Gestión de riesgos Cálculo actuarial Modelos matemáticos Estadística matemática Distribución de riesgos Otros autores: Liu, Fangda
Shi, Ziyue
International Actuarial Association
Outras classificações: 6

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