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
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.File in questo prodotto:
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