Optimal insurance contracts under distortion risk measures with ambiguity aversion
Year of publication: |
2020
|
---|---|
Authors: | Jiang, Wenjun ; Escobar, Marcos ; Ren, Jiandong |
Published in: |
ASTIN bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge Univ. Press, ISSN 1783-1350, ZDB-ID 2148228-7. - Vol. 50.2020, 2, p. 619-646
|
Subject: | Optimal insurance | model uncertainty | distortion risk measure | ambiguity aversion | Karush-Kuhn-Tucker multipliers | calculus of variation | suboptimal contract | Theorie | Theory | Risikoaversion | Risk aversion | Risikomaß | Risk measure | Versicherungsökonomik | Economics of insurance | Risiko | Risk | Entscheidung unter Unsicherheit | Decision under uncertainty | Risikomodell | Risk model | Messung | Measurement |
-
Liang, Zhihang, (2022)
-
Robust insurance design with distortion risk measures
Boonen, Tim J., (2024)
-
Distortion risk measures, ambiguity aversion and optimal effort
Robert, Christian Yann, (2014)
- More ...
-
On Pareto-Optimal Reinsurance with Constraints Under Distortion Risk Measures
Jiang, Wenjun, (2017)
-
Pareto-optimal Reinsurance Policies with Maximal Synergy
Jiang, Wenjun, (2019)
-
Jiang, Wenjun, (2018)
- More ...