Motivated by a randomized reinsurance model we consider the lower envelope of the set of bivariate joint probability distributions having a precise discrete marginal and an ambiguous Bernoulli marginal. Under an independence assumption, since the lower envelope fails 2-monotonicity, inner/outer Dempster-Shafer approximations are provided to model the lower expected insurer’s annual profit under reinsurance.

Addressing Ambiguity in Randomized Reinsurance Contracts Using Belief Functions

Petturiti D.;Vantaggi B.
2022-01-01

Abstract

Motivated by a randomized reinsurance model we consider the lower envelope of the set of bivariate joint probability distributions having a precise discrete marginal and an ambiguous Bernoulli marginal. Under an independence assumption, since the lower envelope fails 2-monotonicity, inner/outer Dempster-Shafer approximations are provided to model the lower expected insurer’s annual profit under reinsurance.
978-3-031-17800-9
978-3-031-17801-6
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11391/1536478
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