Stackelberg differential game for reinsurance: mean-variance framework and random horizon
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Publication:2670107
DOI10.1016/J.INSMATHECO.2021.11.006zbMATH Open1484.91392OpenAlexW3215790528MaRDI QIDQ2670107FDOQ2670107
Authors: Danping Li, Virginia R. Young 
Publication date: 10 March 2022
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.11.006
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mean-variance criterionreinsurancetime-inconsistencyStackelberg differential gamerandom time horizonmean-variance premium
Actuarial mathematics (91G05) Applications of game theory (91A80) Hierarchical games (including Stackelberg games) (91A65)
Cites Work
- Loss models. From data to decisions
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- Benchmark and mean-variance problems for insurers
- On time-inconsistent stochastic control in continuous time
- Risk-adjusted bowley reinsurance under distorted probabilities
- Equilibrium strategies for the mean-variance investment problem over a random horizon
- On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer
- Bowley solution of a mean-variance game in insurance
- Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
- Bowley reinsurance with asymmetric information on the insurer's risk preferences
- A hybrid stochastic differential reinsurance and investment game with bounded memory
- A Stackelberg reinsurance-investment game with asymmetric information and delay
- Robust optimal control for derivative-based investment under the Heston model
- Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
- Robust reinsurance contracts with risk constraint
- A Bowley solution with limited ceded risk for a monopolistic reinsurer
Cited In (21)
- Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure
- Reinsurance games with two reinsurers: tree versus chain
- Stackelberg differential game for insurance under model ambiguity: general divergence
- Equilibrium reinsurance strategy and mean residual life function
- Reinsurance games with \(n\) variance-premium reinsurers: from tree to chain
- Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity
- Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
- Stackelberg differential game for insurance under model ambiguity
- Robust investment and proportional reinsurance strategy with delay and jumps in a stochastic Stackelberg differential game
- Optimal reinsurance arrangement under heterogeneous beliefs: a unified method with piecewise modification
- Time Inconsistency, Precommitment, and Equilibrium Strategies for a Stackelberg Game
- A Stackelberg reinsurance-investment game under Heston's stochastic volatility model
- A non-zero-sum stochastic differential game between two mean-variance insurers with inside information
- A two-layer stochastic game approach to reinsurance contracting and competition
- Optimal reinsurance strategy with mean-variance premium principle and relative performance concern
- Mean field and \(n\)-insurers games for robust optimal reinsurance-investment in correlated markets
- A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility
- On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer
- Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
- A hybrid reinsurance-investment game with delay and asymmetric information
- Stackelberg reinsurance chain under model ambiguity
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