Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity
From MaRDI portal
Publication:6169660
DOI10.1080/03461238.2022.2139632zbMath1518.91215OpenAlexW4307676081MaRDI QIDQ6169660
Publication date: 12 July 2023
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2022.2139632
Hierarchical games (including Stackelberg games) (91A65) Differential games (aspects of game theory) (91A23) Actuarial mathematics (91G05)
Cites Work
- Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation
- Stackelberg differential game for insurance under model ambiguity
- Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
- Reinsurance contract design when the insurer is ambiguity-averse
- Risk-neutral compatibility with option prices
- Stackelberg differential game for reinsurance: mean-variance framework and random horizon
- Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay
- Risk minimizing portfolios and HJBI equations for stochastic differential games
- Approximation of Optimal Reinsurance and Dividend Payout Policies
- ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER
- Optimal Dividend Problem: Asymptotic Analysis
- Discounted probability of exponential parisian ruin: Diffusion approximation
- Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
- Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
This page was built for publication: Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity
