Stackelberg differential reinsurance and investment game for a dependent risk model with Ornstein-Uhlenbeck process
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Cites work
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- Linear quadratic mean field Stackelberg differential games
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- On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer
- Optimal dynamic reinsurance with dependent risks: variance premium principle
- Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion
- Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
- Optimal proportional reinsurance with common shock dependence
- Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
- Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
- Optimal reinsurance contract in a Stackelberg game framework: a view of social planner
- Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
- Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
- Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay
- Stackelberg differential game for insurance under model ambiguity
- The maximum principle for global solutions of stochastic Stackelberg differential games
- Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework
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