An optimal insurance design problem under Knightian uncertainty
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Cites work
- scientific article; zbMATH DE number 1066320 (Why is no real title available?)
- scientific article; zbMATH DE number 3281211 (Why is no real title available?)
- scientific article; zbMATH DE number 3342731 (Why is no real title available?)
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- A general model of insurance under adverse selection
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- Ambiguity, Risk, and Asset Returns in Continuous Time
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- Backward Stochastic Differential Equations in Finance
- Equilibrium in a Reinsurance Market
- Irreversible investment and Knightian uncertainty
- Knightian decision theory. I.
- Maxmin expected utility with non-unique prior
- Numerical method for backward stochastic differential equations
- Optimal insurance with divergent beliefs about insurer total default risk
- Optimal insurance without expected utility: The dual theory and the linearity of insurance contracts
- Optimal risk-sharing rules and equilibria with Choquet-expected-utility.
- Pareto-optimal risk sharing with fixed costs per claim
- Recursive multiple-priors.
- Risk, ambiguity and the Savage axioms
- Search and Knightian uncertainty
- Second-Best Insurance Contract Design in an Incomplete Market
- Sharing Beliefs: Between Agreeing and Disagreeing
- Stochastic Differential Utility
- Subjective Beliefs and ex ante Trade
- Subjective Probability and Expected Utility without Additivity
- Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection
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Cited in
(12)- Optimal XL-insurance under Wasserstein-type ambiguity
- Optimal insurance design of ambiguous risks
- The perturbation method applied to a robust optimization problem with constraint
- A generalized stochastic differential utility driven by \(G\)-Brownian motion
- Stock return uncertainty and life insurance
- An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints
- The optimal portfolio selection model under \(g\)-expectation
- A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints
- Optimal insurance contract specification in the upstream sector of the oil and gas industry
- Optimal insurance contracts under distortion risk measures with ambiguity aversion
- The optimal control problem with state constraints for fully coupled forward-backward stochastic systems with jumps
- Knightian uncertainty and insurance regulation decision
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