In this paper, we consider a continuous-time version of a reinsurance chain, which is sequentially formed by $n+1$ companies, with the first company being the primary insurer and the rest being reinsurers. Because of possible model misspecification, all companies are ambiguous about the original...

Cao et al. (2021) consider a Stackelberg differential game for insurance under model ambiguity. In the main body of the paper, they measure ambiguity via squared-error divergence; then, in the appendix, they briefly consider entropic divergence. In this paper, we show a strong connection between...