Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
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Publication:5865317
DOI10.1080/03461238.2021.1971756zbMath1494.91128OpenAlexW3197486562MaRDI QIDQ5865317
Y. Yuan, Xia Han, Zhibin Liang
Publication date: 13 June 2022
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2021.1971756
asymmetric informationambiguity aversionStackelberg differential gameextended Hamilton-Jacobi-Bellman equationloss-dependent premiumtime-consistent mean-variance framework
Hierarchical games (including Stackelberg games) (91A65) Differential games (aspects of game theory) (91A23) Applications of game theory (91A80) Actuarial mathematics (91G05)
Related Items (12)
Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market ⋮ Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework ⋮ A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility ⋮ Optimal reinsurance contract in a Stackelberg game framework: a view of social planner ⋮ A hybrid reinsurance-investment game with delay and asymmetric information ⋮ Reinsurance contract design with heterogeneous beliefs and learning ⋮ Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity ⋮ Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion ⋮ A Stackelberg reinsurance-investment game under Heston's stochastic volatility model ⋮ Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables ⋮ Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion ⋮ Robust optimal reinsurance in minimizing the penalized expected time to reach a goal
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