Optimal reinsurance strategy based on competition under two kinds of dependent insurance business
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Publication:6148940
Recommendations
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Cites work
- A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market
- Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer
- Minimization of ruin probability with joint strategies of investment and reinsurance
- Non-zero-sum reinsurance games subject to ambiguous correlations
- Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs
- Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform
- Robust optimal reinsurance-investment strategy with price jumps and correlated claims
- Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay
- Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
- Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework
- Time-consistent investment and reinsurance under relative performance concerns
- Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process
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