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...

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,...