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,...

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...