Stackelberg differential game for reinsurance: mean-variance framework and random horizon
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Publication:2670107
DOI10.1016/j.insmatheco.2021.11.006zbMath1484.91392OpenAlexW3215790528MaRDI QIDQ2670107
Publication date: 10 March 2022
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.11.006
reinsurancemean-variance criteriontime-inconsistencyStackelberg differential gamerandom time horizonmean-variance premium
Hierarchical games (including Stackelberg games) (91A65) Applications of game theory (91A80) Actuarial mathematics (91G05)
Related Items (10)
Time Inconsistency, Precommitment, and Equilibrium Strategies for a Stackelberg Game ⋮ Stackelberg differential game for insurance under model ambiguity ⋮ Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework ⋮ A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility ⋮ A hybrid reinsurance-investment game with delay and asymmetric information ⋮ Stackelberg reinsurance chain under model ambiguity ⋮ Reinsurance games with two reinsurers: tree versus chain ⋮ Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity ⋮ Stackelberg differential game for insurance under model ambiguity: general divergence ⋮ A non-zero-sum stochastic differential game between two mean-variance insurers with inside information
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