Search Results for author: Emma Kroell

Found 2 papers, 1 papers with code

Optimal Robust Reinsurance with Multiple Insurers

no code implementations • 22 Aug 2023 • Emma Kroell, Sebastian Jaimungal, Silvana M. Pesenti

Insurers meanwhile seek to maximise their expected utility without ambiguity.

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Stressing Dynamic Loss Models

1 code implementation • 6 Nov 2022 • Emma Kroell, Silvana M. Pesenti, Sebastian Jaimungal

We find that under the stressed measure, the intensity and the severity distribution of the process depend on time and state.

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