Optimal reinsurance under risk and uncertainty on Orlicz hearts

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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...

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Bibliographic Details
Main Authors:	Kong, D., Liu, Lishan, Wu, Y.
Format:	Journal Article
Published:	Elsevier BV 2017
Online Access:	http://hdl.handle.net/20.500.11937/60633

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