Incorporating model uncertainty into optimal insurance contract design

DOI10.1016/j.insmatheco.2016.11.008zbMath1416.91216OpenAlexW2577840653MaRDI QIDQ1681190

Anna Timonina-Farkas, Stefan Hochrainer-Stigler, Georg Ch. Pflug

Publication date: 23 November 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://pure.iiasa.ac.at/id/eprint/14272/1/Model_Ambiguity_Pre_Print.pdf

zbMATH Keywords

minimax solutionWasserstein distancemodel errordistributional robustnessinsurance optimization

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (8)

Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon ⋮ Optimal reinsurance with model uncertainty and Stackelberg game ⋮ Distributionally robust reinsurance with value-at-risk and conditional value-at-risk ⋮ Distributionally robust reinsurance with expectile ⋮ Worst-case moments under partial ambiguity ⋮ Optimal insurance under maxmin expected utility ⋮ Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria ⋮ Optimal XL-insurance under Wasserstein-type ambiguity

Uses Software

• ROME
• ismev

Cites Work

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• Robust stochastic programming with uncertain probabilities
• Calculation of the Wasserstein Distance Between Probability Distributions on the Line
• Technical Note—Minimax Procedure for a Class of Linear Programs under Uncertainty
• Insurance Premium Calculations with Anticipated Utility Theory
• On a Class of Minimax Stochastic Programs
• Minimax analysis of stochastic problems
• The minimax approach to stochastic programming and an illustrative application
• Ambiguity in portfolio selection
• An introduction to statistical modeling of extreme values

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