Optimal Robust Reinsurance with Multiple Insurers
We study a reinsurer who faces multiple sources of model uncertainty. The reinsurer offers
contracts to $ n $ insurers whose claims follow different compound Poisson processes. As …
contracts to $ n $ insurers whose claims follow different compound Poisson processes. As …
Closed-loop equilibria for Stackelberg games: it's all about stochastic targets
C Hernández, NH Santibáñez, E Hubert… - arXiv preprint arXiv …, 2024 - arxiv.org
In this paper, we provide a general approach to reformulating any continuous-time
stochastic Stackelberg differential game under closed-loop strategies as a single-level …
stochastic Stackelberg differential game under closed-loop strategies as a single-level …
Time-consistent mean-variance risk sharing and reinsurance for an insurance group in a Stackelberg differential game
F Wang, Z Liang, C Zhang - Journal of Industrial and Management …, 2024 - aimsciences.org
With the rapid development of economic globalization, the risks faced by insurance
companies become more complex and diverse. In this paper, we study the time-consistent …
companies become more complex and diverse. In this paper, we study the time-consistent …
Time-consistent reinsurance-investment strategies for insurer and reinsurer under jump-diffusion and volatility risks
D Chen, Y He, P Yang - Journal of Industrial and Management …, 2024 - aimsciences.org
This paper studies the time-inconsistent optimal reinsuranceinvestment problem with the
joint interests of an insurer and a reinsurer under the jump-diffusion and Heston models. We …
joint interests of an insurer and a reinsurer under the jump-diffusion and Heston models. We …