New preprint available: Optimal Robust Reinsurance with Multiple Insurers

I’m excited to share that my most recent doctoral work is now available as a pre-print. In this paper, we explore the problem of an ambiguity-averse reinsurer who prices reinsurance contracts for different insurance companies. The insurers have different beliefs about the underlying loss model, and the reinsurer must determine which model to price under given this. This is joint work with my PhD supervisors Sebastian Jaimungal and Silvana Pesenti.