Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game

DOI10.1080/03461238.2021.1971756zbMath1494.91128MaRDI QIDQ5865317

Publication date: 13 June 2022

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

Full work available at URL: https://doi.org/10.1080/03461238.2021.1971756

zbMATH Keywords

asymmetric information; ambiguity aversion; Stackelberg differential game; extended Hamilton-Jacobi-Bellman equation; loss-dependent premium; time-consistent mean-variance framework

Mathematics Subject Classification ID

91A65: Hierarchical games (including Stackelberg games)

91A23: Differential games (aspects of game theory)

91A80: Applications of game theory

91G05: Actuarial mathematics

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