MétaCan
Menu
Back to cohort
Record W4391656247 · doi:10.1016/j.ejor.2024.02.002

Robust insurance design with distortion risk measures

2024· article· en· W4391656247 on OpenAlex
Tim J. Boonen, Wenjun Jiang

Why this work is in the frame

A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.

affAt least one author lists a Canadian institution in the pinned OpenAlex snapshot.
fundA Canadian funder is recorded on the work.

Bibliographic record

VenueEuropean Journal of Operational Research · 2024
Typearticle
Languageen
FieldDecision Sciences
TopicRisk and Portfolio Optimization
Canadian institutionsUniversity of Calgary
FundersNatural Sciences and Engineering Research Council of CanadaUniversity of Calgary
KeywordsComputer scienceRisk managementActuarial scienceDistortion (music)Risk measureRisk analysis (engineering)EconometricsMathematicsBusinessFinance

Abstract

fetched live from OpenAlex

This paper studies the optimal insurance problem within the risk minimization framework and from a policyholder’s perspective. We assume that the decision maker (DM) is uncertain about the underlying distribution of her loss and considers all the distributions that are close to a given (benchmark) distribution, where the “closeness” is measured by the L2 or L1 distance. Under the expected-value premium principle, the DM picks the indemnity function that minimizes her risk exposure under the worst-case loss distribution. By assuming that the DM’s preferences are given by a convex distortion risk measure, we disentangle the structures of the optimal indemnity function and worst-case loss distribution in an analytical way, and provide the explicit forms for both of them under specific distortion risk measures. We also compare the results under the L2 distance and the first-order Wasserstein (L1) distance. Some numerical examples are presented at the end to illustrate the implications of our main results.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.033
metaresearch head score (Gemma)0.004
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesMetaresearch, Scholarly communication
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Simulation or modeling · Consensus signal: none
GenreCandidate signal: Empirical · Consensus signal: none
Teacher disagreement score0.895
Threshold uncertainty score1.000

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0330.004
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0000.000
Bibliometrics0.0010.001
Science and technology studies0.0000.000
Scholarly communication0.0010.001
Open science0.0010.000
Research integrity0.0000.001
Insufficient payload (model declined to judge)0.0000.000

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.378
GPT teacher head0.431
Teacher spread0.053 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it