Results 241 to 250 of about 46,061 (295)
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Equilibria and Efficiency in a Reinsurance Market
Social Science Research Network, 2023,
Mi Zhu, Mario Ghossoub, Tim J. Boonen
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Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
Scandinavian Actuarial Journal, 2022This paper studies a mean-variance investment-reinsurance problem under a new stochastic volatility model, namely the 4/2 stochastic volatility model.
Wenyuan Wang +3 more
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North American Actuarial Journal, 2022
In this study, we investigate the competition among insurers under the mean–variance criterion. The optimization problems are formulated for finite and infinite insurers. The surplus processes of the insurers are characterized by jump-diffusion processes
Guohui Guan, Xiang Hu
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In this study, we investigate the competition among insurers under the mean–variance criterion. The optimization problems are formulated for finite and infinite insurers. The surplus processes of the insurers are characterized by jump-diffusion processes
Guohui Guan, Xiang Hu
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Scandinavian Actuarial Journal, 2022
This paper first studies the optimal reinsurance problems for two competitive insurers and then studies the optimal reinsurance premium pricing problem for their common reinsurer by using the dynamic programming technique. The two insurers are subject to
Ailing Gu +3 more
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This paper first studies the optimal reinsurance problems for two competitive insurers and then studies the optimal reinsurance premium pricing problem for their common reinsurer by using the dynamic programming technique. The two insurers are subject to
Ailing Gu +3 more
semanticscholar +1 more source
Scandinavian Actuarial Journal, 2022
This paper investigates a non-zero-sum stochastic differential game between two competitive CARA insurers, where we adopt the different classes of premium principles (including the expected value premium principle, the variance premium principle and the ...
Xue Dong, X. Rong, H Zhao
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This paper investigates a non-zero-sum stochastic differential game between two competitive CARA insurers, where we adopt the different classes of premium principles (including the expected value premium principle, the variance premium principle and the ...
Xue Dong, X. Rong, H Zhao
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Optimal reinsurance-investment with loss aversion under rough Heston model
Quantitative finance (Print), 2022The paper investigates optimal reinsurance-investment strategies with the assumption that the insurers can purchase proportional reinsurance contracts and invest their wealth in a financial market consisting of one risk-free asset and one risky asset ...
Jingtang Ma +2 more
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Scandinavian Actuarial Journal, 2022
This paper investigates a Stackelberg game between an insurer and a reinsurer under the α-maxmin mean-variance criterion. The insurer can purchase per-loss reinsurance from the reinsurer.
Guohui Guan, Zongxia Liang, Yilun Song
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This paper investigates a Stackelberg game between an insurer and a reinsurer under the α-maxmin mean-variance criterion. The insurer can purchase per-loss reinsurance from the reinsurer.
Guohui Guan, Zongxia Liang, Yilun Song
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Scandinavian Actuarial Journal, 2021
In this paper, we determine a robust reinsurance contract from joint interests of the insurer and reinsurer under the framework of Stackelberg differential game.
Yu Yuan, Zhibin Liang, Xiaoru Han
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In this paper, we determine a robust reinsurance contract from joint interests of the insurer and reinsurer under the framework of Stackelberg differential game.
Yu Yuan, Zhibin Liang, Xiaoru Han
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Mathematical methods in the applied sciences, 2022
This paper is concerned with the investment and reinsurance problem between two insurance companies and a reinsurance company by constructing a two‐layer stochastic differential game.
Wenjing Hao, Zhijian Qiu
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This paper is concerned with the investment and reinsurance problem between two insurance companies and a reinsurance company by constructing a two‐layer stochastic differential game.
Wenjing Hao, Zhijian Qiu
semanticscholar +1 more source
Robust reinsurance contract with learning and ambiguity aversion
Scandinavian Actuarial Journal, 2022We investigate the robust reinsurance demand and price under learning and ambiguity aversion. In the reinsurance contract, the insurer is ambiguity neutral and believes that he is perfectly informed, and the reinsurer is a Bayesian learner and is aware ...
D. Hu, Hailong Wang
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