Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model

DOI10.1080/03461238.2022.2026459zbMath1501.91153OpenAlexW4214749626MaRDI QIDQ5042789

Ailing Gu, Shu-Min Chen, Zhong-Fei Li, Frederi G. Viens

Publication date: 26 October 2022

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2022.2026459

zbMATH Keywords

dynamic programmingprincipal-agent modelreinsurancemodel ambiguitycompound Poisson risk model

Mathematics Subject Classification ID

Hierarchical games (including Stackelberg games) (91A65) Dynamic programming in optimal control and differential games (49L20) Actuarial mathematics (91G05) Principal-agent models (91B43)

Related Items (1)

Optimal reinsurance contract in a Stackelberg game framework: a view of social planner

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