Findings on Insurance Economics Discussed by Investigators at University of Vienna (Incorporating model uncertainty into optimal insurance contract…

Findings on Insurance Economics Discussed by Investigators at University of Vienna (Incorporating model uncertainty into optimal insurance contract design)

By a News Reporter-Staff News Editor at Insurance Weekly News -- Investigators publish new report on Economics - Insurance Economics. According to news reporting from Vienna, Austria, by VerticalNews journalists, research stated, "In stochastic optimization models, the optimal solution heavily depends on the selected probability model for the scenarios. However, the scenario models are typically chosen on the basis of statistical estimates and are therefore subject to model error."

The news correspondents obtained a quote from the research from the University of Vienna, "We demonstrate here how the model uncertainty can be incorporated into the decision making process. We use a nonparametric approach for quantifying the model uncertainty and a minimax setup to find model-robust solutions."

According to the news reporters, the research concluded: "The method is illustrated by a risk management problem involving the optimal design of an insurance contract."

For more information on this research see: Incorporating model uncertainty into optimal insurance contract design. Insurance Mathematics & Economics, 2017;73():68-74. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

Our news journalists report that additional information may be obtained by contacting G.C. Pflug, University of Vienna, ISOR, A-1090 Vienna, Austria. Additional authors for this research include A. Timonina-Farkas and S. Hochrainer-Stigler.

Keywords for this news article include: Vienna, Austria, Europe, Insurance Economics, Economics, University of Vienna.

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