2 papers
math.ST2021
Distributionally robust tail bounds based on Wasserstein distance and -divergence
Corina Birghila, Maximilian Aigner, Sebastian Engelke
In this work, we provide robust bounds on the tail probabilities and the tail index of heavy-tailed distributions in the context of model misspecification. They are defined as the…
q-fin.RM2020
Optimal Insurance under Maxmin Expected Utility
Corina Birghila, Tim J. Boonen, Mario Ghossoub
We examine a problem of demand for insurance indemnification, when the insured is sensitive to ambiguity and behaves according to the Maxmin-Expected Utility model of Gilboa and Sc…