Worst-case risk with unspecified risk preferences

DOI10.1016/j.insmatheco.2024.03.003zbMATH Open1537.91261MaRDI QIDQ6543159

Haiyan Liu

Publication date: 24 May 2024

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

zbMATH Keywords

concavityvalue-at-riskdistortion risk measurepreference robust

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

Cites Work

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• Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
• Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs
• Coherent measures of risk
• ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY
• The Dual Theory of Choice under Risk
• Measuring Beliefs Under Ambiguity
• Shortfall Risk Models When Information on Loss Function Is Incomplete
• WEIGHTED COMONOTONIC RISK SHARING UNDER HETEROGENEOUS BELIEFS
• Robust Spectral Risk Optimization When Information on Risk Spectrum Is Incomplete
• Convex functions and their applications. A contemporary approach

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