There is a suspicion that the key has been compromised. What do you recommend to do? Can I generate a new key or do I need to install the application again?
You can generate a new key in Thunderbird+Enigmail setup, a second Delta Chat setup or OpenKeychain and import it. There is no way to generate a new key in Delta Chat without reinstalling it.
There should be a possibility to do that manually.
From technically point of view this should not be a problem.