Closed-form optimal indemnity functions and worst-case distributions are derived for alpha-maxmin VaR insurance demand and for minimizing worst-case convex distortion risk measures subject to VaR constraints, using asymmetric Bregman-Wasserstein ambiguity sets.
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Distributionally Robust Insurance under Bregman-Wasserstein Divergence
Closed-form optimal indemnity functions and worst-case distributions are derived for alpha-maxmin VaR insurance demand and for minimizing worst-case convex distortion risk measures subject to VaR constraints, using asymmetric Bregman-Wasserstein ambiguity sets.