Optimal reinsurance with model uncertainty and Stackelberg game
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Publication:5083398
DOI10.1080/03461238.2021.1925735zbMath1492.91292OpenAlexW3165496534MaRDI QIDQ5083398
Liang Hu, Anna Weixel, Gee Y. Lee, Haiyan Liu, Joshua Gavagan
Publication date: 20 June 2022
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2021.1925735
model uncertaintyTweedie distributionsafety loadingrange-value-at-riskWasserstein-\(L^\infty\) metric
Hierarchical games (including Stackelberg games) (91A65) Applications of game theory (91A80) Actuarial mathematics (91G05)
Related Items
Bowley vs. Pareto optima in reinsurance contracting ⋮ Distributionally robust reinsurance with value-at-risk and conditional value-at-risk ⋮ Distributionally robust reinsurance with expectile
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