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...

We solve a Stackelberg differential game between a buyer and a seller of insurance policies, in which both parties are ambiguous about the insurable loss. Both the buyer and seller maximize their expected wealth, plus a penalty term that reflects ambiguity, over an exogenous random horizon....

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,...