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Addressing Ambiguity in Randomized Reinsurance Contracts Using Belief Functions

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Belief Functions: Theory and Applications (BELIEF 2022)

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 13506))

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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.

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Author information

Authors and Affiliations

  1. Department of Economics, University of Perugia, Perugia, Italy

    Davide Petturiti

  2. Department MEMOTEF, “La Sapienza” University of Rome, Rome, Italy

    Gabriele Stabile & Barbara Vantaggi

Authors
  1. Davide Petturiti
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  2. Gabriele Stabile
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  3. Barbara Vantaggi
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Corresponding author

Correspondence to Barbara Vantaggi .

Editor information

Editors and Affiliations

  1. University of Paris-Saclay, Gif sur Yvette, France

    Sylvie Le Hégarat-Mascle

  2. Sorbonne University, Paris, France

    Isabelle Bloch

  3. University of Paris-Saclay, Gif sur Yvette, France

    Emanuel Aldea

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Petturiti, D., Stabile, G., Vantaggi, B. (2022). Addressing Ambiguity in Randomized Reinsurance Contracts Using Belief Functions. In: Le Hégarat-Mascle, S., Bloch, I., Aldea, E. (eds) Belief Functions: Theory and Applications. BELIEF 2022. Lecture Notes in Computer Science(), vol 13506. Springer, Cham. https://doi.org/10.1007/978-3-031-17801-6_27

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  • DOI: https://doi.org/10.1007/978-3-031-17801-6_27

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-031-17800-9

  • Online ISBN: 978-3-031-17801-6

  • eBook Packages: Computer ScienceComputer Science (R0)

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