ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER (Q4562959)
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scientific article; zbMATH DE number 6881269
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER |
scientific article; zbMATH DE number 6881269 |
Statements
ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER (English)
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6 June 2018
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Stackelberg game
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proportional reinsurance
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stochastic Hamilton-Jacobi-Bellman equation
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backward stochastic differential equation
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variance premium principle
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