Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework

DOI10.1016/j.insmatheco.2019.06.006zbMath1425.91217OpenAlexW2954858821WikidataQ127561642 ScholiaQ127561642MaRDI QIDQ2273981

Yang Shen, Lv Chen

Publication date: 19 September 2019

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.06.006

zbMATH Keywords

Stackelberg equilibriumexcess-of-loss reinsurancetime inconsistencyproportional reinsurancemean-varianceleader-follower

Mathematics Subject Classification ID

Related Items (34)

Time Inconsistency, Precommitment, and Equilibrium Strategies for a Stackelberg Game ⋮ Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer ⋮ Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model ⋮ Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints ⋮ Stackelberg differential game for insurance under model ambiguity ⋮ Stackelberg differential game for reinsurance: mean-variance framework and random horizon ⋮ Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay ⋮ Pareto-based Stackelberg differential game for stochastic systems with multi-followers ⋮ Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle ⋮ Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework ⋮ Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model ⋮ The optimal deductible and coverage in insurance contracts and equilibrium risk sharing policies ⋮ Stochastic differential reinsurance and investment games with delay under VaR constraints⋆ ⋮ A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility ⋮ Optimal reinsurance contract in a Stackelberg game framework: a view of social planner ⋮ A hybrid reinsurance-investment game with delay and asymmetric information ⋮ Stackelberg reinsurance chain under model ambiguity ⋮ A Stackelberg reinsurance-investment game with derivatives trading ⋮ Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity ⋮ Stackelberg differential game for insurance under model ambiguity: general divergence ⋮ Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model ⋮ Robust backward linear-quadratic differential game and team: a soft-constraint analysis ⋮ Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion ⋮ A Stackelberg reinsurance-investment game under Heston's stochastic volatility model ⋮ A non-zero-sum stochastic differential game between two mean-variance insurers with inside information ⋮ Robust reinsurance contracts with risk constraint ⋮ A continuous-time theory of reinsurance chains ⋮ Mixed linear quadratic stochastic differential leader-follower game with input constraint ⋮ A hybrid stochastic differential reinsurance and investment game with bounded memory ⋮ Bowley solution of a mean-variance game in insurance ⋮ A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market ⋮ A Stackelberg reinsurance–investment game with asymmetric information and delay ⋮ Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model ⋮ Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game

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