References
- Albrecher, H., Beirlant, J. & Teugels, J. L. (2017). Reinsurance: actuarial and statistical aspects. John Wiley & Sons, Hoboken, NJ, USA.
- Asimit, A. V., Badescu, A. M. & Verdonck, T. (2013). Optimal risk transfer under quantile-based risk measurers. Insurance: Mathematics and Economics 53(1), 252–265.
- Boonen, T. J. & Ghossoub, M. (2019). On the existence of a representative reinsurer under heterogeneous beliefs. Insurance: Mathematics and Economics 88, 209–225.
- Boonen, T. J., Tan, K. S. & Zhuang, S. C. (2016). The role of a representative reinsurer in optimal reinsurance. Insurance: Mathematics and Economics 70, 196–204.
- Cao, J., Li, D., Young, V. R. & Zou, B. (2022). Stackelberg differential game for insurance under model ambiguity. Insurance: Mathematics and Economics 106, 128–145.
- Cao, J., Li, D., Young, V. R. & Zou, B. (2023a). Stackelberg differential game for insurance under model ambiguity: general divergence. Scandinavian Actuarial Journal 2023(7), 735–763.
- Cao, J., Li, D., Young, V. R. & Zou, B. (2023b). Reinsurance games with two reinsurers: tree versus chain. European Journal of Operational Research 310(2), 928–941.
- Chen, L. & Shen, Y. (2018). On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer. ASTIN Bulletin 48(2), 905–960.
- Chen, L. & Shen, Y. (2019). Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework. Insurance: Mathematics and Economics 88, 120–137.
- Chen, L., Shen, Y. & Su, J. (2020). A continuous-time theory of reinsurance chains. Insurance: Mathematics and Economics 95, 129–146.
- Chi, Y. & Meng, H. (2014). Optimal reinsurance arrangements in the presence of two reinsurers. Scandinavian Actuarial Journal 2014(5), 424–438.
- d'Ursel, L. & Lauwers, M. (1985). Chains of reinsurance: non-cooperative equilibria and Pareto optimality. Insurance: Mathematics and Economics 4(4), 279–285.
- d'Ursel, L. & Lauwers, M. (1986). Pareto optimal chains of reinsurance. Economics Letters 20(4), 307–310.
- Gerber, H. (1984). Chains of reinsurance. Insurance: Mathematics and Economics 3(1), 43–48.
- Gu, A., Viens, F. G. & Shen, Y. (2020). Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model. Scandinavian Actuarial Journal 2020(4), 342–375.
- Heijnen, B. (1989). Perturbation calculus in risk theory: application to chains and trees of reinsurance. Insurance: Mathematics and Economics 8(1), 97–104.
- Hu, D., Chen, S. & Wang, H. (2018). Robust reinsurance contracts in continuous time. Scandinavian Actuarial Journal 2018(1), 1–22.
- Jacod, J. & Protter, P. (2010). Risk-neutral compatibility with option prices. Finance and Stochastics14(2), 285–315.
- Lemaire, J. & Quairiere, J.-P. (1986). Chains of reinsurance revisited. ASTIN Bulletin 16(2), 77–88.
- Li, D. & Young, V. R. (2022). Stackelberg differential game for reinsurance: mean-variance framework and random horizon. Insurance: Mathematics and Economics 102, 42–55.
- Mataramvura, S. & Øksendal, B. (2008). Risk minimizing portfolios and HJBI equations for stochastic differential games. Stochastics 80(4), 317–337.
- Rothschild, M. & Stiglitz, J. (1976). Equilibrium in competitive insurance markets: an essay on the economics of imperfect information. Quarterly Journal of Economics 90(4), 629–649.
- Zhang, X. & Siu, T. K. (2009). Optimal investment and reinsurance of an insurer with model uncertainty. Insurance: Mathematics and Economics 45(1), 81–88.