A continuous-time theory of reinsurance chains-Reference-Cited by-同舟云学术

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A continuous-time theory of reinsurance chains

Published:2020-11 Issue: Volume:95 Page:129-146
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Chen Lv,Shen Yang,Su Jianxi

Funder

National Natural Science Foundation of China

Australian Research Council

Major Program of the National Social Science Foundation of China

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference45 articles.

1. The Nash bargaining solution vs. equilibrium in a reinsurance syndicate;Aase;Scand. Actuar. J.,2009

2. Benchmark and mean-variance problems for insurers;Bäuerle;Math. Methods Oper. Res.,2005

3. Mean-variance portfolio optimization with state-dependent risk aversion;Björk;Math. Finance,2014

4. Pricing in reinsurance bargaining with comonotonic additive utility functions;Boonen;Astin Bull.,2016

5. The role of a representative reinsurer in optimal reinsurance;Boonen;Insurance Math. Econom.,2016

Cited by 8 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Life reinsurance under perfect and asymmetric information;Scandinavian Actuarial Journal;2023-12-27

2. Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer;ASTIN Bulletin;2023-10-18

3. Reinsurance games with two reinsurers: Tree versus chain;European Journal of Operational Research;2023-10

4. Stackelberg reinsurance chain under model ambiguity;Scandinavian Actuarial Journal;2023-09-07

5. Reinsurance games with variance-premium reinsurers: from tree to chain;ASTIN Bulletin;2023-07-11

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