top of page
Rechercher
  • Photo du rédacteurHélène Dufour

Optimal Robust Reinsurance with Multiple Insurers

"We study a #reinsurer who faces multiple sources of #model #uncertainty. The reinsurer offers contracts to n #insurers whose #claims follow different compound #poisson processes. As the reinsurer is uncertain about the insurers' claim severity distributions and frequencies, they design reinsurance contracts that maximise their expected wealth subject to an #entropy #penalty…."


3 vues0 commentaire

Posts récents

Voir tout

コメント


bottom of page