ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER
نویسندگان
چکیده
منابع مشابه
A Stochastic Differential Reinsurance Game
We study a stochastic differential game between two insurance companies who employ reinsurance to reduce the risk of exposure. Under the assumption that the companies have large insurance portfolios compared to any individual claim size, their surplus processes can be approximated by stochastic differential equations. We formulate competition between the two companies as a game with a single pa...
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ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 2018
ISSN: 0515-0361,1783-1350
DOI: 10.1017/asb.2018.3