OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION

DOI10.1017/asb.2020.12zbMath1447.91140OpenAlexW3024141413MaRDI QIDQ5119570

Marcos Escobar Anel, Wenjun Jiang, Jiandong Ren

Publication date: 31 August 2020

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2020.12

zbMATH Keywords

model uncertaintyambiguity aversioncalculus of variationdistortion risk measureoptimal insuranceKarush-Kuhn-Tucker multiplierssuboptimal contract

Mathematics Subject Classification ID

Decision theory (91B06) Optimal stochastic control (93E20) Actuarial mathematics (91G05)

Related Items (5)

A marginal indemnity function approach to optimal reinsurance under the Vajda condition ⋮ Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making ⋮ Distributionally robust reinsurance with value-at-risk and conditional value-at-risk ⋮ Worst-case moments under partial ambiguity ⋮ Optimal insurance under maxmin expected utility

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