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  • Photo du rédacteurHélène Dufour

Worst-Case Reinsurance Strategy with Likelihood Ratio Uncertainty

The study delves into optimizing reinsurance amidst uncertainty, aiming to minimize insurer's worst-case loss. It establishes a connection between optimal strategies under a reference measure and those in worst-case scenarios, applicable to tail risk quantification. Conditions for common optimal solutions are provided, with applications to expectile risk measures explored. Cooperative and non-cooperative models are compared.


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