Optimal reinsurance contract in a Stackelberg game framework: a view of social planner
From MaRDI portal
Publication:6121115
DOI10.1080/03461238.2023.2220219MaRDI QIDQ6121115
Danping Li, Xia Han, David Landriault
Publication date: 26 February 2024
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
decision analysisStackelberg gamemean-variance premium principlereinsurance contract designsocial planner view
Hierarchical games (including Stackelberg games) (91A65) Applications of game theory (91A80) Actuarial mathematics (91G05)
Cites Work
- Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
- Robust non-zero-sum stochastic differential reinsurance game
- A class of non-zero-sum stochastic differential investment and reinsurance games
- Optimal reinsurance/investment problems for general insurance models
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Stochastic cooperative games in insurance
- Non-zero-sum stochastic differential reinsurance and investment games with default risk
- Robust reinsurance contracts with uncertainty about jump risk
- Minimizing the probability of ruin: optimal per-loss reinsurance
- On minimizing the ruin probability by investment and reinsurance
- Stochastic Pareto-optimal reinsurance policies
- Bowley solution of a mean-variance game in insurance
- A hybrid stochastic differential reinsurance and investment game with bounded memory
- Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
- Optimal non-proportional reinsurance control and stochastic differential games
- Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
- A reinsurance game between two insurance companies with nonlinear risk processes
- On optimal reinsurance policy with distortion risk measures and premiums
- Dynamic mean-variance portfolio selection with borrowing constraint
- Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
- Optimal reinsurance under the \(\alpha\)-maxmin mean-variance criterion
- ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Optimal dynamic reinsurance with dependent risks: variance premium principle
- Robust reinsurance contracts in continuous time
- Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model
- Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
- Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
- Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
This page was built for publication: Optimal reinsurance contract in a Stackelberg game framework: a view of social planner