Optimal reinsurance with model uncertainty and Stackelberg game
Author:
Affiliation:
1. Department of Mathematics, Michigan State University, East Lansing, MI, USA
2. Chinese Academy of Sciences, Beijing, People's Republic of China
3. Department of Statistics and Probability, Michigan State University, East Lansing, MI, USA
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03461238.2021.1925735
Reference31 articles.
1. Coherent Measures of Risk
2. Robust and Pareto optimality of insurance contracts
3. Optimal robust insurance with a finite uncertainty set
4. Reciprocal reinsurance treaties seen as a two-person co-operative game
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