Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model
Ailing Gu, Shumin Chen, Zhongfei Li and Frederi G. Viens
| Year of publication: |
2022
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|---|---|
| Authors: | Gu, Ailing ; Chen, Shumin ; Li, Zhongfei ; Viens, Frederi G. |
| Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2022.2022, 9, p. 749-774
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2022.2026459 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013419039