Seminar by Wenjun Jiang

Actuarial Science and Financial Mathematics seminar series 

Wenjun Jiang
University of Calgary

Room: M3 3127

Pareto-efficient insurance under model uncertainty

We study the optimal insurance contracting problem from the perspective of Pareto optimality. The potential policyholder and finitely many insurers all apply distortion risk measures for insurance negotiation and are assumed to be ambiguous about the underlying loss distribution. Ambiguity is modelled via sets of probability measures that are generated through Wasserstein balls around possibly different benchmark distributions. We derive the analytical forms of the optimal indemnity functions and the worst-case survival functions from all the parties’ perspectives. More implications are illustrated through numerical examples.