Optimal reinsurance under risk and uncertainty on Orlicz hearts
In the paper, we study two classes of optimal reinsurance problems on Orlicz hearts in which both the insurer and reinsurer face risk and uncertainty. Based on Balbás et al. (2015) and Rockafellar and Royset (2015b), we first establish the robust representations for the mixed CVaR relative to the se...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Elsevier BV
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/60633 |