We study a dynamic Stackelberg differential game between a buyer and a seller of insurance policies in a spectrally negative Lévy framework, in which both parties are ambiguous about the intensity and severity of insurable losses. Both the buyer and seller aim to maximize their expected wealth,...

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...

This paper studies reinsurance contracting and competition in a continuous-time model with ambiguity. The market consists of one insurer and two reinsurers, who apply a generalized expected-value premium principle and a generalized variance premium principle to price reinsurance contracts,...