Robust reinsurance contracts in continuous time
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Recommendations
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Cites work
- A class of non-zero-sum stochastic differential investment and reinsurance games
- A Smooth Model of Decision Making under Ambiguity
- A stochastic differential reinsurance game
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Aspects of risk theory
- Diffusion approximations in collective risk theory
- Dynamic portfolio selection with mispricing and model ambiguity
- Dynamic Pricing of General Insurance in a Competitive Market
- scientific article; zbMATH DE number 192908 (Why is no real title available?)
- Maxmin expected utility with non-unique prior
- Optimal non-proportional reinsurance control
- Optimal strategies for pricing general insurance
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
- Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
- Pricing General Insurance Using Optimal Control Theory
- Pricing general insurance with constraints
- Risk theory and reinsurance. Translated from the French by Urmie Ray
- Risk, ambiguity and the Savage axioms
- Robust Contracts in Continuous Time
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
Cited in
(29)- Robust reinsurance contracts with uncertainty about jump risk
- Robust non-zero-sum investment and reinsurance game with default risk
- Stackelberg differential game for insurance under model ambiguity
- Optimal risk exposure and dividend payout policies under model uncertainty
- Concave distortion risk minimizing reinsurance design under adverse selection
- Dynamic risk-sharing game and reinsurance contract design
- Reinsurance contract design when the insurer is ambiguity-averse
- Robust 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
- scientific article; zbMATH DE number 5220403 (Why is no real title available?)
- Household consumption-investment-insurance decisions with uncertain income and market ambiguity
- Optimal reinsurance contract in a Stackelberg game framework: a view of social planner
- Stackelberg reinsurance chain under model ambiguity
- Addressing ambiguity in randomized reinsurance contracts using belief functions
- Reinsurance contract design with heterogeneous beliefs and learning
- Stackelberg differential game for insurance under model ambiguity: general divergence
- Robust reinsurance and investment strategies under principal-agent framework
- Reinsurance games with n variance-premium reinsurers: from tree to chain
- A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game
- Reinsurance contracts under Stackelberg game and market equilibrium
- Robust reinsurance-pricing-investment stochastic differential game between (re)insurers under the mean-variance criterion
- Heterogeneous reinsurance premiums under a trilateral stochastic differential game
- Optimal risk management strategies in a diffusion risk process: a simultaneous problem
- Robust optimal dividend and reinsurance under model uncertainty
- Optimal robust reinsurance with multiple insurers*
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