Worst-case reinsurance strategy with likelihood ratio uncertainty

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<title>Worst-case reinsurance strategy with likelihood ratio uncertainty</title>
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<namePart>Liu, Fangda</namePart>
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<namePart>Shi, Ziyue</namePart>
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<abstract displayLabel="Summary">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</abstract>
<note type="statement of responsibility">David Landriault, Fangda Liu and Ziyue Shi</note>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>15/09/2025 Volume 55 Issue 3 - September 2025 , p.  492- 513</text>
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