chi-squared divergence 1continuous-time insurance 1Cramér-Lundberg model 1mean-variance optimization 1model ambiguity 1risk sharing 1
From the 1 of 2 linked papers with an AI index.
2 papers
q-fin.RM2026
Model Combination in Risk Sharing under Ambiguity
Emma Kroell, Sebastian Jaimungal, Silvana M. Pesenti
The paper studies how an agent can share continuous‑time losses with a counterparty when the true loss distribution is ambiguous, using a chi‑squared divergence based mean‑variance…
q-fin.RM2024
Optimal Robust Reinsurance with Multiple Insurers
Emma Kroell, Sebastian Jaimungal, Silvana M. Pesenti
We study a reinsurer who faces multiple sources of model uncertainty. The reinsurer offers contracts to insurers whose claims follow compound Poisson processes representing bot…