Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance.
Jun CaiFangda LiuMingren YinPublished in: Eur. J. Oper. Res. (2024)
Keyphrases
- random variables
- risk measures
- probability distribution
- graphical models
- robust optimization
- worst case
- distribution function
- joint distribution
- conditional probabilities
- normal distribution
- marginal distributions
- stochastic optimization problems
- bayesian networks
- joint probability distribution
- independent and identically distributed
- conditional independence
- portfolio optimization
- conditional distributions
- random vectors
- stochastic programming
- conditional distribution
- upper bound
- identically distributed
- dynamic programming