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.; Stabile, G.; Vantaggi, B.. - 13506 LNAI:(2022), pp. 286-296. (Intervento presentato al convegno BELIEF 2022 tenutosi a Parigi) [10.1007/978-3-031-17801-6_27].
Addressing Ambiguity in Randomized Reinsurance Contracts Using Belief Functions
Stabile G.;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 | Dimensione | Formato | |
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