Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game-Reference-Cited by-同舟云学术

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Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game

Published:2021-09-08 Issue: Volume: Page:1-28
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Yuan Yu¹,Liang Zhibin²,Han Xia³

Affiliation:

1. School of Management Science and Engineering, Nanjing University of Information Science and Technology, Jiangsu, People's Republic of China

2. School of Mathematical Sciences, Nanjing Normal University, Jiangsu, People's Republic of China

3. Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, ON, Canada

Funder

National Natural Science Foundation of China

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2021.1971756

Reference43 articles.

1. A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection

2. Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection

3. X-CAPM: An extrapolative capital asset pricing model

4. Dynamic Mean-Variance Asset Allocation

5. The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games

Cited by 28 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Stackelberg differential reinsurance and investment game for a dependent risk model with Ornstein–Uhlenbeck process;Statistics & Probability Letters;2024-11

2. Reinsurance contracts under Stackelberg game and market equilibrium;RAIRO - Operations Research;2024-09

3. Equilibrium Reinsurance Strategy and Mean Residual Life Function;Acta Mathematicae Applicatae Sinica, English Series;2024-06-05

4. Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure;European Journal of Operational Research;2024-05

5. A hybrid reinsurance-investment game with delay and asymmetric information;Journal of Computational and Applied Mathematics;2024-04

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