3 papers
q-fin.RM2025
Model Combination in Risk Sharing under Ambiguity
Emma Kroell, Sebastian Jaimungal, Silvana M. Pesenti
We consider the problem of an agent who faces losses in continuous time over a finite time horizon and may choose to share some of these losses with a counterparty. The agent is un…
q-fin.RM2023
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…
q-fin.RM2022
Stressing Dynamic Loss Models
Emma Kroell, Silvana M. Pesenti, Sebastian Jaimungal
Stress testing, and in particular, reverse stress testing, is a prominent exercise in risk management practice. Reverse stress testing, in contrast to (forward) stress testing, aim…