Optimal reinsurance with model uncertainty and Stackelberg game
DOI10.1080/03461238.2021.1925735zbMATH Open1492.91292OpenAlexW3165496534MaRDI QIDQ5083398FDOQ5083398
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
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Tweedie distributionmodel uncertaintysafety loadingrange-value-at-riskWasserstein-\(L^\infty\) metric
Actuarial mathematics (91G05) Applications of game theory (91A80) Hierarchical games (including Stackelberg games) (91A65)
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Cited In (11)
- Stackelberg differential game for insurance under model ambiguity: general divergence
- Title not available (Why is that?)
- 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
- Optimal reinsurance contract in a Stackelberg game framework: a view of social planner
- On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
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