Optimal reinsurance with model uncertainty and Stackelberg game
Joshua Gavagan, Liang Hu, Gee Y. Lee, Haiyan Liu and Anna Weixel
| Year of publication: |
2022
|
|---|---|
| Authors: | Gavagan, Joshua ; Hu, Liang ; Lee, Gee ; Liu, Haiyan ; Weixel, Anna |
| Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2022.2022, 1, p. 29-48
|
| Subject: | model uncertainty | Range-value-at-risk | safety loading | Tweedie distribution | Wasserstein-L∞ metric | Risiko | Risk | Rückversicherung | Reinsurance | Spieltheorie | Game theory | 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: | 10.1080/03461238.2021.1925735 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012872645