Reinsurance contract design when the insurer is ambiguity-averse
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Publication:2415981
Recommendations
- Robust reinsurance contracts with uncertainty about jump risk
- Robust reinsurance contracts in continuous time
- Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
- Robust reinsurance contract with learning and ambiguity aversion
- Robust reinsurance contracts with risk constraint
Cites work
- A class of non-zero-sum stochastic differential investment and reinsurance games
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Dynamic derivative strategies with stochastic interest rates and model uncertainty
- Dynamic portfolio selection with mispricing and model ambiguity
- Dynamic Pricing of General Insurance in a Competitive Market
- Equilibrium in a Reinsurance Market
- scientific article; zbMATH DE number 1153603 (Why is no real title available?)
- Maxmin expected utility with non-unique prior
- Optimal premium pricing strategies for competitive general insurance markets
- OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
- Optimal strategies for pricing general insurance
- Pricing general insurance with constraints
- PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
- Risk, ambiguity and the Savage axioms
- Robust consumption and portfolio policies when asset prices can jump
- Robust Contracts in Continuous Time
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Robust reinsurance contracts in continuous time
- Robust reinsurance contracts with uncertainty about jump risk
- Stochastic Pareto-optimal reinsurance policies
Cited in
(16)- Robust reinsurance contracts with uncertainty about jump risk
- Stackelberg differential game for insurance under model ambiguity
- Reinsurance of multiple risks with generic dependence structures
- Robust reinsurance contracts in continuous time
- Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer
- Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model
- Robust reinsurance contract with learning and ambiguity aversion
- Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
- Robust reinsurance contracts with risk constraint
- Reinsurance contract design with adverse selection
- Household consumption-investment-insurance decisions with uncertain income and market ambiguity
- Time-consistent lifetime portfolio selection under smooth ambiguity
- Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity
- Robust reinsurance and investment strategies under principal-agent framework
- Robust optimal per-loss reinsurance strategy for an ambiguity-averse insurer
- Heterogeneous reinsurance premiums under a trilateral stochastic differential game
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