On a new paradigm of optimal reinsurance : a stochastic stackelberg differential game between an insurer and a reinsurer
Year of publication: |
2018
|
---|---|
Authors: | Lv, Chen ; Shen, Yang |
Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 48.2018, 2, p. 905-960
|
Subject: | Stackelberg game | proportional reinsurance | stochastic Hamilton-Jacobi-Bellman equation | backward stochastic differential equation | variance premium principle | Rückversicherung | Reinsurance | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Spieltheorie | Game theory | Stochastisches Spiel | Stochastic game |
-
A Stackelberg game of backward stochastic differential equations with applications
Zheng, Yueyang, (2020)
-
Guana, Guohui, (2023)
-
Mean-field type games between two players driven by backward stochastic differential equations
Aurell, Alexander, (2018)
- More ...
-
A continuous-time theory of reinsurance chains
Lv, Chen, (2020)
-
Lv, Chen, (2016)
-
Lv, Chen, (2019)
- More ...