Optimal reinsurance with model uncertainty and Stackelberg game
From MaRDI portal
(Redirected from Publication:5083398)
Recommendations
- Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
- On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer
- Optimal reinsurance under risk and uncertainty
- Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
- Dynamic risk-sharing game and reinsurance contract design
Cites work
- A Neyman-Pearson perspective on optimal reinsurance with constraints
- A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions
- Ambiguity in portfolio selection
- Axiomatic characterization of insurance prices
- Coherent measures of risk
- Convex measures of risk and trading constraints
- scientific article; zbMATH DE number 3159879 (Why is no real title available?)
- Incorporating model uncertainty into optimal insurance contract design
- Insurance ratemaking using a copula-based multivariate Tweedie model
- Law invariant convex risk measures
- Marginal indemnification function formulation for optimal reinsurance
- On the elicitability of range value at risk
- Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
- Optimal reinsurance under general law-invariant risk measures
- Optimal reinsurance under VaR and CTE risk measures
- Optimal reinsurance with positively dependent risks
- Optimal retention for a stop-loss reinsurance with incomplete information
- Optimal robust insurance with a finite uncertainty set
- Quantile-based risk sharing
- Risk-adjusted bowley reinsurance under distorted probabilities
- Robust and Pareto optimality of insurance contracts
- Robustness and sensitivity analysis of risk measurement procedures
- Stochastic orders
- Technical note: closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
- Technical Note—Minimax Procedure for a Class of Linear Programs under Uncertainty
Cited in
(15)- On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
- Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
- scientific article; zbMATH DE number 6255454 (Why is no real title available?)
- Bowley vs. Pareto optima in reinsurance contracting
- Optimal reinsurance contract in a Stackelberg game framework: a view of social planner
- Distributionally robust reinsurance with expectile
- Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity
- Stackelberg differential game for insurance under model ambiguity: general divergence
- Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer
- Bowley Insurance with Expected Utility Maximization of the Policyholders
- A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game
- Optimal investment and reinsurance for an insurer with constraints and ambiguous correlation
- Optimal reinsurance design under convex premium principles and distortion risk measures
- Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance
- Stackelberg reinsurance and premium decisions with MV criterion and irreversibility
This page was built for publication: Optimal reinsurance with model uncertainty and Stackelberg game
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5083398)
