Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
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Publication:5865317
DOI10.1080/03461238.2021.1971756zbMath1494.91128OpenAlexW3197486562MaRDI QIDQ5865317
Y. Yuan, Xia Han, Zhibin Liang
Publication date: 13 June 2022
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2021.1971756
asymmetric informationambiguity aversionStackelberg differential gameextended Hamilton-Jacobi-Bellman equationloss-dependent premiumtime-consistent mean-variance framework
Hierarchical games (including Stackelberg games) (91A65) Differential games (aspects of game theory) (91A23) Applications of game theory (91A80) Actuarial mathematics (91G05)
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