Life reinsurance under perfect and asymmetric information

DOI10.1080/03461238.2023.2295272MaRDI QIDQ6609073zbMATH OpenFDO

Authors An Chen, Maria Hinken, Yang Shen

Publication date 20 September 2024

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/03461238.2023.2295272

Mathematics Subject Classification ID

Hierarchical games (including Stackelberg games) (91A65) Actuarial mathematics (91G05)

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Cites work

• A continuous-time theory of reinsurance chains
• A hybrid stochastic differential reinsurance and investment game with bounded memory
• Bowley reinsurance with asymmetric information on the insurer's risk preferences
• Bowley reinsurance with asymmetric information: a first-best solution
• Decrease of capital guarantees in life insurance products: can reinsurance stop it?
• Mean-variance approximations to expected utility
• Monotone Comparative Statics
• On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer
• Optimal longevity risk transfer and investment strategies
• Reinsurance contract design with adverse selection
• Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game

Cited in

(1)

• Optimal reinsurance-investment problem for the insurer and reinsurer with asymmetric information in principal-agent model

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