5 papers
Robust distortion risk metrics with Wasserstein and Unimodal Constraints
Peng Liu, Steven Vanduffel, Yi Xia +1
We establish sharp upper and lower bounds for distortion risk metrics under distributional uncertainty. The uncertainty sets are characterized by four key features of the underlyin…
Robust mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty
Guohui Guan, Zongxia Liang, Yi Xia
This paper investigates robust stochastic differential games among insurers under model uncertainty and stochastic volatility. The surplus processes of ambiguity-averse insurers (A…
Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets
Guohui Guan, Zongxia Liang, Yi Xia
This paper studies the robust reinsurance and investment games for competitive insurers. Model uncertainty is characterized by a class of equivalent probability measures. Each insu…
A Two-layer Stochastic Game Approach to Reinsurance Contracting and Competition
Zongxia Liang, Yi Xia, Bin Zou
We propose a two-layer stochastic game model to study reinsurance contracting and competition in a market with one insurer and two competing reinsurers. The insurer negotiates with…
Automated Deterministic Auction Design with Objective Decomposition
Zhijian Duan, Haoran Sun, Yichong Xia +6
Identifying high-revenue mechanisms that are both dominant strategy incentive compatible (DSIC) and individually rational (IR) is a fundamental challenge in auction design. While t…