ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER

DOI10.1017/asb.2018.3zbMath1390.91170OpenAlexW2791073367MaRDI QIDQ4562959

Lv Chen, Yang Shen

Publication date: 6 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2018.3

zbMATH Keywords

backward stochastic differential equationproportional reinsuranceStackelberg gamevariance premium principlestochastic Hamilton-Jacobi-Bellman equation

Mathematics Subject Classification ID

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