Optimal reinsurance with model uncertainty and Stackelberg game

DOI10.1080/03461238.2021.1925735MaRDI QIDQ5083398zbMATH OpenOpenAlexFDO

Authors Joshua Gavagan, Liang Hu, Gee Y. Lee, Haiyan Liu, Anna Weixel

Publication date 20 June 2022

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2021.1925735

zbMATH Keywords

Tweedie distributionmodel uncertaintysafety loadingrange-value-at-riskWasserstein-\(L^\infty\) metric

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of game theory (91A80) Hierarchical games (including Stackelberg games) (91A65)

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Cites work

• scientific article; zbMATH DE number 3159879 (Why is no real title available?)
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• Law invariant convex risk measures
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• Technical note: closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization

Cited in

(11)

• Stackelberg differential game for insurance under model ambiguity: general divergence
• scientific article; zbMATH DE number 6255454 (Why is no real title available?)
• Bowley Insurance with Expected Utility Maximization of the Policyholders
• Distributionally robust reinsurance with expectile
• Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity
• A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game
• Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
• Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer
• Bowley vs. Pareto optima in reinsurance contracting
• On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
• Optimal reinsurance contract in a Stackelberg game framework: a view of social planner

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