2 papers
q-fin.RM2025
Pareto-optimal reinsurance under dependence uncertainty
Tim J. Boonen, Xia Han, Peng Liu +1
This paper studies Pareto-optimal reinsurance design in a monopolistic market with multiple primary insurers and a single reinsurer, all with heterogeneous risk preferences. The ri…
q-fin.MF2025
Robust Lambda-quantiles and extremal distributions
Xia Han, Peng Liu
In this paper, we investigate the robust models for -quantiles with partial information regarding the loss distribution, where -quantiles extend the classical quantiles by…