This paper studies a one-period stochastic game to determine the optimal premium strategies of non-life insurers in a competitive market. Specifically, the optimal premium strategy is determined by the Nash equilibrium of an n-player game, in which each player is assumed to maximise the expected...

This paper considers the non-zero-sum stochastic differential game problem between two ambiguity-averse insurers (AAIs) who encounter model uncertainty and seek the optimal investment and reinsurance decision under relative performance concerns. Each AAI invests in a risky asset and a risk-free...

This paper establishes a general analytical framework for continuous-time stochastic control problems for an ambiguity-averse agent (AAA) with time-inconsistent preference, where the control problems do not satisfy Bellman's principle of optimality. The AAA is concerned about model uncertainty...

Regime-switching Levy processes integrate jump-diffusions and Markov regime-switchings. When they are coalesced with nonlinear partial differential equations of second order, the technique of viscosity solutions proves critical in the resolution process. However, applications to carbon policies...

In this paper, which is a continuation of a previous discrete time paper, we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We study these problems within a game...

In this paper, which is a continuation of the discrete time paper, we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We study these problems within a game theoretic...