“Our model handles typical stop-loss reinsurance contracts. We show that a three-point distribution achieves the worst-case VaR of the total retained loss of the insurer, from which the closed-form solutions of the worst-case distribution and optimal deductible are obtained. Moreover, we show that the worst-case Conditional Value-at-Risk of the total retained loss of the insurer is equal to the worst-case VaR, and thus the optimal deductible is the same in both cases.”
Distributionally Robust Reinsurance with Value-at-Risk and Conditional Value-at-Risk
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