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Robust Stochastic Differential Reinsurance and Investment Games with Heterogeneous Insurers

https://doi.org/10.2139/ssrn.5226850
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Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle
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A hybrid stochastic differential reinsurance and investment game with bounded memory
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Time-consistent investment and reinsurance strategies for mean-variance insurers with relative performance concerns under the Heston model
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Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model
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Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process
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Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps
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Robust non-zero-sum stochastic differential reinsurance game
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Optimal investment and reinsurance for an insurer under Markov-modulated financial market
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On Optimal Reinsurance Treaties in Cooperative Game under Heterogeneous Beliefs
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Stochastic Stackelberg differential reinsurance games under time-inconsistent mean–variance framework
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Robust optimal investment–reinsurance strategies for an insurer with multiple dependent risks
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Optimal Reinsurance with Multiple Reinsurers: Distortion Risk Measures, Distortion Premium Principles, and Heterogeneous Beliefs
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Robust optimal reinsurance–investment for α -maxmin mean–variance utility under Heston’s SV model
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STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE
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ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER
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Reciprocal Reinsurance Treaties
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Robust reinsurance contracts in continuous time
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Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
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Optimal reinsurance contract in a Stackelberg game framework: a view of social planner
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Stackelberg reinsurance chain under model ambiguity
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Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model
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Heterogeneous reinsurance premiums under a trilateral stochastic differential game
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Robust Portfolio Rules and Asset Pricing
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Pricing reinsurance and determining optimal retention based on the criterion of maximizing social expected utility
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A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection
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A non-zero-sum stochastic differential game between two mean-variance insurers with inside information
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