Stochastic Pareto-optimal reinsurance policies
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Publication:2015633
DOI10.1016/J.INSMATHECO.2013.09.006zbMATH Open1290.91104OpenAlexW2068513563MaRDI QIDQ2015633FDOQ2015633
Authors: 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
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Cooperative games (91A12) Applications of game theory (91A80) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)
Cites Work
- Optimal dynamic reinsurance policies for large insurance portfolios
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
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- Optimal reinsurance under mean-variance premium principles
- On reinsurance and investment for large insurance portfolios
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- Stochastic cooperative games in insurance
- A stochastic differential reinsurance game
- Optimal reinsurance with a rescuing procedure
- On absolute ruin minimization under a diffusion approximation model
Cited In (18)
- Equilibrium reinsurance strategy and mean residual life function
- Optimality of excess-loss reinsurance under a mean-variance criterion
- Pareto-optimal reinsurance revisited: a two-stage optimisation procedure approach
- Dynamic risk-sharing game and reinsurance contract design
- Robust reinsurance contracts with risk constraint
- Dynamic stochastic cooperative reinsurance strategy in a continuous time model
- Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer
- Pareto-optimal reinsurance policies with maximal synergy
- The optimal deductible and coverage in insurance contracts and equilibrium risk sharing policies
- Optimal dividend strategies with reinsurance under contagious systemic risk
- Optimal reinsurance strategy for an insurer and a reinsurer with generalized variance premium principle
- Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
- Chains of reinsurance: Non-cooperative equilibria and Pareto optimality
- Stochastic differential reinsurance games in diffusion approximation models
- Time-consistent investment and reinsurance under relative performance concerns
- Reinsurance contract design when the insurer is ambiguity-averse
- Optimal reinsurance contract in a Stackelberg game framework: a view of social planner
- Stochastic differential games between two insurers with generalized mean-variance premium principle
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