Reinsurance games with two reinsurers: Tree versus chain
This paper studies reinsurance contracting and competition in a continuous-time model with
ambiguity. The market consists of one insurer and two reinsurers, who apply a generalized …
ambiguity. The market consists of one insurer and two reinsurers, who apply a generalized …
[HTML][HTML] Insider trading at a random deadline with correlation between dynamic asset and stochastic liquidity
J Qiu, Y Zhou - Applied Mathematics and Computation, 2025 - Elsevier
We propose a generalized continuous-time insider trading model, building upon the
frameworks of Caldentey and Stacchetti (2010) and Collin-Dufresne and Fos (2016), with a …
frameworks of Caldentey and Stacchetti (2010) and Collin-Dufresne and Fos (2016), with a …
Portfolio liquidation with delayed information
This study investigates the liquidation of a portfolio when there is delayed information such
as prices and trading signals. Its motivation stems from the calendar-time effect of …
as prices and trading signals. Its motivation stems from the calendar-time effect of …
[PDF][PDF] Insider trading with dynamic asset under market makers' partial observations
J Qiu, Y Zhou - AIMS Mathematics, 2023 - aimspress.com
This paper studies an extended continuous-time insider trading model of Calentey and
Stacchetti (2010, Econometrica), which allows market makers to observe some partial …
Stacchetti (2010, Econometrica), which allows market makers to observe some partial …