A two-layer stochastic game approach to reinsurance contracting and competition
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Cites work
- A class of non-zero-sum stochastic differential investment and reinsurance games
- A mean field game approach to optimal investment and risk control for competitive insurers
- A note on optimal insurance risk control with multiple reinsurers
- Constrained investment-reinsurance optimization with regime switching under variance premium principle
- Controlled Markov processes and viscosity solutions
- Equilibria and efficiency in a reinsurance market
- On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer
- On minimizing the ruin probability by investment and reinsurance
- On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
- Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
- Optimal dynamic reinsurance with dependent risks: variance premium principle
- Optimal moral-hazard-free reinsurance under extended distortion premium principles
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal reinsurance designs based on risk measures: a review
- Optimal reinsurance under a new design: two layers and multiple reinsurers
- Optimal reinsurance under the \(\alpha\)-maxmin mean-variance criterion
- Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit
- Optimal reinsurance under variance related premium principles
- Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability
- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Reinsurance games with n variance-premium reinsurers: from tree to chain
- Reinsurance games with two reinsurers: tree versus chain
- Reinsurance. Actuarial and statistical aspects
- Robust optimal investment and reinsurance for an insurer with inside information
- Stackelberg differential game for insurance under model ambiguity
- Stackelberg differential game for reinsurance: mean-variance framework and random horizon
- Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
- Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
- VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
Cited in
(5)- Equilibria and efficiency in a reinsurance market
- Reinsurance games with n variance-premium reinsurers: from tree to chain
- Co-opetition in reinsurance markets: when Pareto meets Stackelberg and Nash
- Stackelberg investment and reinsurance game under dynamic CVaR constraints
- A Stackelberg reinsurance-investment game on asset-liability management under CEV model
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