2 papers
q-fin.MF2026
Extremal Mean-Variance Functionals over Wasserstein Balls: Applications to Risk Sharing
Wenjun Jiang, Yiying Zhang, Zhenfeng Zou
We characterize the worst- and best-case values of a mean-variance functional over a 2-Wasserstein ball. Using quantile representations and the geometry of attainable means and sta…
q-fin.RM2026
Distributionally Robust Insurance under Bregman-Wasserstein Divergence
Wenjun Jiang, Qingqing Zhang, Yiying Zhang
This paper investigates two optimal insurance contracting problems under distributional uncertainty from the perspective of a potential policyholder, utilizing a Bregman-Wasserstei…