Dynamic risk-sharing game and reinsurance contract design

DOI10.1016/J.INSMATHECO.2019.03.004MaRDI QIDQ2415979zbMATH OpenOpenAlexWikidataFDO

Authors Yanchu Liu, Chengguo Weng, Shumin Chen

Publication date 23 May 2019

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2019.03.004

zbMATH Keywords

HJB equationNash equilibriumreinsuranceruin probabilitystochastic control

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)

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Cites work

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• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 5223066 (Why is no real title available?)
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• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
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• Optimal Dynamic XL Reinsurance
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• Optimal risk and dividend control of an insurance company with exponential premium principle and liquidation value
• Optimal risk control for a large corporation in the presence of returns on investments
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• The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model
• Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models

Cited in

(21)

• A game-theoretic model of reinsurance
• Stochastic differential reinsurance games in diffusion approximation models
• Irreversible reinsurance: a singular control approach
• The excess-of-loss reinsurance strategy selection game between an insurer and a reinsurer
• Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
• Optimal reinsurance with model uncertainty and Stackelberg game
• Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility
• Robust reinsurance contracts with risk constraint
• Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
• Fairness principles for insurance contracts in the presence of default risk
• The optimal deductible and coverage in insurance contracts and equilibrium risk sharing policies
• Reinsurance contract design with heterogeneous beliefs and learning
• Robust reinsurance and investment strategies under principal-agent framework
• A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game
• An equilibrium model of reinsurance pricing
• Stackelberg-equilibrium reinsurance contract with heterogeneous beliefs and uncertain parameter
• Stackelberg equilibrium strategies between insurance demand and government interventions
• Heterogeneous reinsurance premiums under a trilateral stochastic differential game
• Optimal design of fixed and variable costs in peer-to-peer insurance with heterogeneous risk
• Optimal risk management strategies in a diffusion risk process: a simultaneous problem
• Investment and reinsurance with incomplete information and biased beliefs

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