3 papers
q-fin.RM2025
Robust distortion risk metrics and portfolio optimization
Peng Liu, Steven Vanduffel, Yi Xia
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…
q-fin.MF2024
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…
q-fin.MF2024
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…