Stochastic Pareto-optimal reinsurance policies

DOI10.1016/J.INSMATHECO.2013.09.006zbMath1290.91104OpenAlexW2068513563MaRDI QIDQ2015633

Xudong Zeng, Shangzhen Luo

Publication date: 23 June 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.09.006

zbMATH Keywords

stochastic optimal controlPareto-optimalreinsurancecooperation game

Mathematics Subject Classification ID

Cooperative games (91A12) Applications of game theory (91A80) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15)

Related Items (12)

Optimality of excess-loss reinsurance under a mean-variance criterion ⋮ Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer ⋮ Time-consistent investment and reinsurance under relative performance concerns ⋮ Optimal Dividend Strategies with Reinsurance under Contagious Systemic Risk ⋮ Dynamic risk-sharing game and reinsurance contract design ⋮ Reinsurance contract design when the insurer is ambiguity-averse ⋮ The optimal deductible and coverage in insurance contracts and equilibrium risk sharing policies ⋮ Optimal reinsurance contract in a Stackelberg game framework: a view of social planner ⋮ Robust reinsurance contracts with risk constraint ⋮ Stochastic differential reinsurance games in diffusion approximation models ⋮ STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE ⋮ Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model

Cites Work

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• On absolute ruin minimization under a diffusion approximation model
• A stochastic differential reinsurance game
• Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
• Optimal reinsurance under mean-variance premium principles

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