Academic Journal
Distributionally robust reinsurance with expectile
| Title: | Distributionally robust reinsurance with expectile |
|---|---|
| Authors: | Xie, Xinqiao, Liu, Haiyan, Mao, Tiantian, Zhu, Xiao Bai |
| Superior Title: | ASTIN Bulletin ; volume 53, issue 1, page 129-148 ; ISSN 0515-0361 1783-1350 |
| Publisher Information: | Cambridge University Press (CUP) |
| Publication Year: | 2023 |
| Description: | We study a distributionally robust reinsurance problem with the risk measure being an expectile and under expected value premium principle. The mean and variance of the ground-up loss are known, but the loss distribution is otherwise unspecified. A minimax problem is formulated with its inner problem being a maximization problem over all distributions with known mean and variance. We show that the inner problem is equivalent to maximizing the problem over three-point distributions, reducing the infinite-dimensional optimization problem to a finite-dimensional optimization problem. The finite-dimensional optimization problem can be solved numerically. Numerical examples are given to study the impacts of the parameters involved. |
| Document Type: | article in journal/newspaper |
| Language: | English |
| DOI: | 10.1017/asb.2022.28 |
| Availability: | https://doi.org/10.1017/asb.2022.28 https://www.cambridge.org/core/services/aop-cambridge-core/content/view/S0515036122000289 |
| Rights: | http://creativecommons.org/licenses/by/4.0/ |
| Accession Number: | edsbas.7040906B |
| Database: | BASE |
| Description not available. |