{"paper":{"title":"Distributionally Robust Reinsurance under Robust Optimized Certainty Equivalent Risk Measure","license":"http://creativecommons.org/licenses/by-nc-nd/4.0/","headline":"","cross_cats":[],"primary_cat":"math.OC","authors_text":"Taizhong Hu, Tiantian Mao, Xinqiao Xie","submitted_at":"2026-06-10T09:30:57Z","abstract_excerpt":"In this paper, we introduce a class of preference robust risk measures-\\emph{robust optimized certainty equivalents} (ROCE)-which encompasses several widely used measures, including Conditional Value-at-Risk and expectiles, as special cases. Motivated by recent developments in distributionally robust optimal reinsurance (DROR), we investigate DROR problems under the ROCE risk measure and consider two prominent uncertainty sets: the mean-variance uncertainty set and the Wasserstein uncertainty set. For the mean-variance uncertainty set, we reformulate the infinite-dimensional optimization probl"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2606.11855","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2606.11855/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}