Stochastic differential reinsurance game for two competitive insurers with ambiguity-aversion under mean-variance premium principle

DOI10.1007/s10479-024-05844-6zbMath1537.91274MaRDI QIDQ6547002

Caibin Zhang, Kexin Wang, Yu Yuan

Publication date: 30 May 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

ambiguity aversionmean-variance premium principledependent risk modelcompetition frameworkoptimal per-loss reinsurance

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Applications of game theory (91A80) Stochastic games, stochastic differential games (91A15) Actuarial mathematics (91G05)

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