Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model
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Cites work
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- Optimal investment-reinsurance policy for an insurance company with VaR constraint
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Cited in
(19)- PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
- Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
- Robust reinsurance contracts with risk constraint
- Optimal reinsurance contract in a Stackelberg game framework: a view of social planner
- Stackelberg reinsurance chain under model ambiguity
- Stochastic differential reinsurance game for two competitive insurers with ambiguity-aversion under mean-variance premium principle
- Equilibrium reinsurance strategy and mean residual life function
- Reinsurance games with n variance-premium reinsurers: from tree to chain
- Non-zero-sum reinsurance and investment game under thinning dependence structure: mean–variance premium principle
- Robust investment and proportional reinsurance strategy with delay and jumps in a stochastic Stackelberg differential game
- Statistical Foundations Driving 21st Century Innovation
- Optimal reinsurance strategy with mean-variance premium principle and relative performance concern
- A multi-layer stochastic differential investment and reinsurance game with a dynamic contagion claim model
- Robust time-consistent Stackelberg differential game for insurance with stochastic interest rates and 4/2 stochastic volatility
- Robust reinsurance contract and investment with delay under mean-variance framework
- Stackelberg investment and reinsurance game under dynamic CVaR constraints
- Robust optimal investment and reinsurance strategy under Heston model with the generalized variance premium principle
- Stackelberg reinsurance-investment game with smooth ambiguity under inside information
- Robust optimal investment and reinsurance strategy with exchange rate risk and model uncertainty
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