Reinsurance contract design when the insurer is ambiguity-averse
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Publication:2415981
DOI10.1016/j.insmatheco.2019.03.007zbMath1411.91287OpenAlexW2933179063MaRDI QIDQ2415981
Publication date: 23 May 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.03.007
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Related Items (8)
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 ⋮ Stackelberg differential game for insurance under model ambiguity ⋮ Reinsurance of multiple risks with generic dependence structures ⋮ Time-consistent lifetime portfolio selection under smooth ambiguity ⋮ Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity ⋮ Robust reinsurance contracts with risk constraint ⋮ Household consumption-investment-insurance decisions with uncertain income and market ambiguity
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