Optimal robust insurance with a finite uncertainty set-Reference-Cited by-同舟云学术

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Optimal robust insurance with a finite uncertainty set

Published:2019-07 Issue: Volume:87 Page:67-81
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Asimit Alexandru V.,Hu Junlei,Xie Yuantao

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference35 articles.

1. Second-order cone programming;Alizadeh;Math. Program.,2003

2. Uncertainty and the welfare economics of medical care;Arrow;Amer. Econ. Rev.,1963

3. Optimal risk transfer under quantile-based risk measures;Asimit;Insurance Math. Econom.,2013

4. Robust and pareto optimality of insurance contracts;Asimit;European J. Oper. Res.,2017

5. Insurance with multiple insurers: a game-theoretic approach;Asimit;European J. Oper. Res.,2018

Cited by 10 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance;European Journal of Operational Research;2024-10

2. Robust insurance design with distortion risk measures;European Journal of Operational Research;2024-07

3. Worst-case moments under partial ambiguity;ASTIN Bulletin;2023-03-13

4. Surrender contagion in life insurance;European Journal of Operational Research;2023-03

5. A new robust insurance model considering the time of accident;Journal of Intelligent & Fuzzy Systems;2022-09-22

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