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Optimal reinsurance with model uncertainty and Stackelberg game - MaRDI portal

Optimal reinsurance with model uncertainty and Stackelberg game (Q5083398)

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scientific article; zbMATH DE number 7544484
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English
Optimal reinsurance with model uncertainty and Stackelberg game
scientific article; zbMATH DE number 7544484

    Statements

    title
    Optimal reinsurance with model uncertainty and Stackelberg game (English)
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    author
    Joshua Gavagan
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    Liang Hu
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    Gee Y. Lee
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    Haiyan Liu
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    Anna Weixel
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    publication date
    20 June 2022
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    zbMATH Keywords
    range-value-at-risk
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    model uncertainty
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    Wasserstein-\(L^\infty\) metric
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    safety loading
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    Tweedie distribution
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    cites work
    Q3277804
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    Q3526970
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    Stochastic orders
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    Identifiers

    Mathematics Subject Classification ID
    91G05
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    91A65
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    91A80
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    zbMATH DE Number
    7544484
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    OpenAlex ID
    W3165496534
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