Robust reinsurance contracts in continuous time
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Publication:4583597
DOI10.1080/03461238.2016.1274270zbMath1416.91189OpenAlexW2564456188MaRDI QIDQ4583597
Duni Hu, Hailong Wang, Shou Chen
Publication date: 31 August 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2016.1274270
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Related Items (16)
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 ⋮ Robust reinsurance contract with learning and ambiguity aversion ⋮ Stackelberg differential game for insurance under model ambiguity ⋮ Dynamic risk-sharing game and reinsurance contract design ⋮ Reinsurance contract design when the insurer is ambiguity-averse ⋮ Optimal reinsurance contract in a Stackelberg game framework: a view of social planner ⋮ Stackelberg reinsurance chain under model ambiguity ⋮ Reinsurance contract design with heterogeneous beliefs and learning ⋮ Stackelberg differential game for insurance under model ambiguity: general divergence ⋮ Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model ⋮ Robust reinsurance contracts with risk constraint ⋮ Optimal risk exposure and dividend payout policies under model uncertainty ⋮ Robust non-zero-sum investment and reinsurance game with default risk ⋮ Concave distortion risk minimizing reinsurance design under adverse selection ⋮ Household consumption-investment-insurance decisions with uncertain income and market ambiguity
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