Robust reinsurance contracts with risk constraint
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Publication:5117680
DOI10.1080/03461238.2019.1683761zbMath1447.91151OpenAlexW2982609431WikidataQ126861939 ScholiaQ126861939MaRDI QIDQ5117680
Publication date: 26 August 2020
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2019.1683761
ambiguityoptimal reinsuranceprincipal-agent problemproportional reinsurancerisk constraintKarush-Kuhn-Tucker (KKT) conditions
Actuarial mathematics (91G05) Contract theory (moral hazard, adverse selection) (91B41) Principal-agent models (91B43)
Related Items (12)
Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate ⋮ Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer ⋮ Robust reinsurance contract with learning and ambiguity aversion ⋮ Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints ⋮ Stackelberg differential game for insurance under model ambiguity ⋮ Stackelberg differential game for reinsurance: mean-variance framework and random horizon ⋮ A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility ⋮ Reinsurance-investment game between two mean-variance insurers under model uncertainty ⋮ Reinsurance contract design with heterogeneous beliefs and learning ⋮ Some optimisation problems in insurance with a terminal distribution constraint ⋮ Optimal risk exposure and dividend payout policies under model uncertainty ⋮ Household consumption-investment-insurance decisions with uncertain income and market ambiguity
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