Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game (Q5865317): Difference between revisions

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scientific article; zbMATH DE number 7540569

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English	Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game	scientific article; zbMATH DE number 7540569

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instance of

scholarly article

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title

Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game (English)

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zbMATH Open document ID

1494.91128

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DOI

10.1080/03461238.2021.1971756

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Scandinavian Actuarial Journal

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publication date

13 June 2022

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Mathematics Subject Classification ID

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time-consistent mean-variance framework

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Stackelberg differential game

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extended Hamilton-Jacobi-Bellman equation

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loss-dependent premium

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asymmetric information

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ambiguity aversion

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03461238.2021.1971756

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OpenAlex ID

W3197486562

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cites work

Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection

0 references

The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games

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Utility Maximization Under Trading Constraints with Discontinuous Utility

0 references

On time-inconsistent stochastic control in continuous time

0 references

A theory of Markovian time-inconsistent stochastic control in discrete time

0 references

MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

0 references

Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

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ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER

0 references

Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework

0 references

Optimal advertising and pricing in a dynamic durable goods supply chain

0 references

Dynamic mean-variance portfolio selection with borrowing constraint

0 references

On Optimal Dividend Strategies In The Compound Poisson Model

0 references

Aspects of risk theory

0 references

Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure

0 references

Optimal proportional reinsurance with a loss-dependent premium principle

0 references

Consumption habits and humps

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REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE

0 references

Optimal dynamic reinsurance with dependent risks: variance premium principle

0 references

Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process

0 references

Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence

0 references

Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)

0 references

Robust time-inconsistent stochastic control problems

0 references

Robust non-zero-sum stochastic differential reinsurance game

0 references

Leader-follower stochastic differential game with asymmetric information and applications

0 references

A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling

0 references

Q4610958

0 references

Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria

0 references

A Leader-Follower Stochastic Linear Quadratic Differential Game

0 references

Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs

0 references

Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps

0 references

Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion

0 references

Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach

0 references

Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling

0 references

Optimal Dynamic Risk Control for Insurers with State-Dependent Income

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5865317

@@ Property / cites work @@
+Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection
+Normal rank
@@ Property / cites work @@
+The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games
+Normal rank
@@ Property / cites work @@
+Utility Maximization Under Trading Constraints with Discontinuous Utility
+Normal rank
@@ Property / cites work @@
+On time-inconsistent stochastic control in continuous time
+Normal rank
@@ Property / cites work @@
+A theory of Markovian time-inconsistent stochastic control in discrete time
+Normal rank
@@ Property / cites work @@
+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
+Normal rank
@@ Property / cites work @@
+Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
+Normal rank
@@ Property / cites work @@
+ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER
+Normal rank
@@ Property / cites work @@
+Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
+Normal rank
@@ Property / cites work @@
+Optimal advertising and pricing in a dynamic durable goods supply chain
+Normal rank
@@ Property / cites work @@
+Dynamic mean-variance portfolio selection with borrowing constraint
+Normal rank
@@ Property / cites work @@
+On Optimal Dividend Strategies In The Compound Poisson Model
+Normal rank
@@ Property / cites work @@
+Aspects of risk theory
@@ Property / cites work: Aspects of risk theory / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance with a loss-dependent premium principle
+Normal rank
@@ Property / cites work @@
+Consumption habits and humps
@@ Property / cites work: Consumption habits and humps / rank @@
+Normal rank
@@ Property / cites work @@
+REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE
+Normal rank
@@ Property / cites work @@
+Optimal dynamic reinsurance with dependent risks: variance premium principle
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
+Normal rank
@@ Property / cites work @@
+Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
+Normal rank
@@ Property / cites work @@
+Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
+Normal rank
@@ Property / cites work @@
+Robust time-inconsistent stochastic control problems
+Normal rank
@@ Property / cites work @@
+Robust non-zero-sum stochastic differential reinsurance game
+Normal rank
@@ Property / cites work @@
+Leader-follower stochastic differential game with asymmetric information and applications
+Normal rank
@@ Property / cites work @@
+A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling
+Normal rank
@@ Property / cites work @@
+Q4610958
@@ Property / cites work: Q4610958 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
+Normal rank
@@ Property / cites work @@
+A Leader-Follower Stochastic Linear Quadratic Differential Game
+Normal rank
@@ Property / cites work @@
+Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs
+Normal rank
@@ Property / cites work @@
+Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
+Normal rank
@@ Property / cites work @@
+Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion
+Normal rank
@@ Property / cites work @@
+Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach
+Normal rank
@@ Property / cites work @@
+Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Risk Control for Insurers with State-Dependent Income
+Normal rank