Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model
Year of publication: |
2022
|
---|---|
Authors: | Gu, Ailing ; Chen, Shumin ; Li, Zhongfei ; Viens, Frederi G. |
Subject: | compound Poisson risk model | dynamic programming | model ambiguity | principal-agent model | Reinsurance | Rückversicherung | Prinzipal-Agent-Theorie | Agency theory | Theorie | Theory | Risikomodell | Risk model | Dynamische Optimierung | Dynamic programming | Risikoaversion | Risk aversion | Versicherungsmathematik | Actuarial mathematics | Portfolio-Management | Portfolio selection | Entscheidung unter Unsicherheit | Decision under uncertainty |
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