On a new paradigm of optimal reinsurance : a stochastic stackelberg differential game between an insurer and a reinsurer
By Lv Chen and Yang Shen
| Year of publication: |
2018
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|---|---|
| Authors: | Lv, Chen ; Shen, Yang |
| Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 48.2018, 2, p. 905-960
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| Subject: | Stackelberg game | proportional reinsurance | stochastic Hamilton-Jacobi-Bellman equation | backward stochastic differential equation | variance premium principle | Rückversicherung | Reinsurance | Stochastischer Prozess | Stochastic process | Spieltheorie | Game theory | Analysis | Mathematical analysis | Risikomodell | Risk model | Stochastisches Spiel | Stochastic game | Versicherungsmathematik | Actuarial mathematics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2018.3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011875926