Distributionally Robust Reinsurance with Glue Value-at-Risk and Expected Value Premium

In this paper, we explore a distributionally robust reinsurance problem that incorporates the concepts of Glue Value-at-Risk and the expected value premium principle. The problem focuses on stop-loss reinsurance contracts with known mean and variance of the loss. The optimization problem can be form...

Full description

Saved in:
Bibliographic Details
Published in:Mathematics (Basel) 2023-09, Vol.11 (18), p.3923
Main Authors: Lv, Wenhua, Wei, Linxiao
Format: Article
Language:English
Subjects:
distributional robustness reinsurance
Exact solutions
Expected values
Food science
four-point distribution
glue value-at-risk
Mathematical functions
Maximization
Methods
Minimax technique
Optimization
Random variables
Reinsurance
Risk management
Robustness
stop-loss
uncertainty
Citations: Items that this one cites
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:In this paper, we explore a distributionally robust reinsurance problem that incorporates the concepts of Glue Value-at-Risk and the expected value premium principle. The problem focuses on stop-loss reinsurance contracts with known mean and variance of the loss. The optimization problem can be formulated as a minimax problem, where the inner problem involves maximizing over all distributions with the same mean and variance. It is demonstrated that the inner problem can be represented as maximizing either over three-point distributions under some mild condition or over four-point distributions otherwise. Additionally, analytical solutions are provided for determining the optimal deductible and optimal values.
ISSN:2227-7390
2227-7390
DOI:10.3390/math11183923