Mingren Yin

University of Waterloo - Department of Statistics and Actuarial Science

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Worst-case Risk Measures of Stop-Loss and Limited Loss Random Variables Under Distribution Uncertainty With Applications to Robust Reinsurance

Number of pages: 41 Posted: 25 Apr 2023 Last Revised: 01 Mar 2024
Jun Cai, Fangda Liu and Mingren Yin
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
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Abstract:

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Stop-loss, limited loss, uncertainty set, Wasserstein distance, distortion risk measure, tail value-at-risk, quantile function, min-max problem, robust stop-loss reinsurance.