Stochastic differential reinsurance game for two competitive insurers with ambiguity-aversion under mean-variance premium principle
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Publication:6547002
DOI10.1007/S10479-024-05844-6zbMATH Open1537.91274MaRDI QIDQ6547002FDOQ6547002
Authors: Yu Yuan, Kexin Wang, Caibin Zhang 
Publication date: 30 May 2024
Published in: Annals of Operations Research (Search for Journal in Brave)
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ambiguity aversionmean-variance premium principledependent risk modelcompetition frameworkoptimal per-loss reinsurance
Actuarial mathematics (91G05) Applications of game theory (91A80) Dynamic programming in optimal control and differential games (49L20) Stochastic games, stochastic differential games (91A15)
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