ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER
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DOI: 10.1017/asb.2018.3
Abstract: Abstract This paper proposes a new continuous-time framework to analyze optimal reinsurance, in which an insurer and a reinsurer are two players of a stochastic Stackelberg differential game, i.e., a stochastic leader-follower differential game. This… read more here.
Keywords: insurer reinsurer; game; differential game; reinsurance ... See more keywords