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Scandinavian Actuarial Journal Volume 2020, 2020 - Issue 5
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Articles

Robust reinsurance contracts with risk constraint

Ning WangDepartment of Actuarial Studies and Business Analytics, Macquarie Business School, Macquarie University, Sydney, Australia;School of Statistics, East China Normal University, Shanghai, People's Republic of ChinaCorrespondence[email protected]
&
Tak Kuen SiuDepartment of Actuarial Studies and Business Analytics, Macquarie Business School, Macquarie University, Sydney, Australia
Pages 419-453 | Received 24 Jan 2019, Accepted 18 Oct 2019, Published online: 30 Oct 2019

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Guohui Guan, Zongxia Liang & Yilun Song. (2024) A Stackelberg reinsurance-investment game under α-maxmin mean-variance criterion and stochastic volatility. Scandinavian Actuarial Journal 2024:1, pages 28-63.
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Katia Colaneri, Julia Eisenberg & Benedetta Salterini. (2023) Some optimisation problems in insurance with a terminal distribution constraint. Scandinavian Actuarial Journal 2023:7, pages 655-678.
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Duni Hu & Hailong Wang. (2023) Reinsurance contract design with heterogeneous beliefs and learning. Communications in Statistics - Theory and Methods 52:14, pages 5026-5047.
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Ling Wang, Mei Choi Chiu & Hoi Ying Wong. (2023) Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate. Scandinavian Actuarial Journal 2023:2, pages 123-152.
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Danping Li, Ximin Rong, Yajie Wang & Hui Zhao. (2022) Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer. Communications in Statistics - Theory and Methods 51:21, pages 7496-7527.
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Duni Hu & Hailong Wang. (2022) Robust reinsurance contract with learning and ambiguity aversion. Scandinavian Actuarial Journal 2022:9, pages 794-815.
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Ning Wang, Zhuo Jin, Tak Kuen Siu & Ming Qiu. (2021) Household consumption-investment-insurance decisions with uncertain income and market ambiguity. Scandinavian Actuarial Journal 2021:10, pages 832-865.
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Xia Han, Danping Li & Yu Yuan. Robust reinsurance contract and investment with delay under mean-variance framework. Communications in Statistics - Theory and Methods 0:0, pages 1-45.
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Qingqing Zhang, Zhibin Liang & Fudong Wang. A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game. Scandinavian Actuarial Journal 0:0, pages 1-34.
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Articles from other publishers (11)

Yang Feng, Tak Kuen Siu & Jinxia Zhu. (2024) Optimal payout strategies when Bruno de Finetti meets model uncertainty. Insurance: Mathematics and Economics 116, pages 148-164.
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Caibin Zhang, Zhibin Liang & Yu Yuan. (2024) Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure. European Journal of Operational Research 315:1, pages 213-227.
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Ning Wang, Tak Kuen Siu & Kun Fan. (2022) Robust reinsurance and investment strategies under principal–agent framework. Annals of Operations Research 336:1-2, pages 981-1011.
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Yongxia Zhao & Xue Gong. (2024) Robust optimal dividend and reinsurance under model uncertainty. Mathematical Foundations of Computing 0:0, pages 0-0.
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Jingyi Cao, Dongchen Li, Virginia R. Young & Bin Zou. (2022) Stackelberg differential game for insurance under model ambiguity. Insurance: Mathematics and Economics 106, pages 128-145.
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Danping Li & Virginia R. Young. (2022) Stackelberg differential game for reinsurance: Mean-variance framework and random horizon. Insurance: Mathematics and Economics 102, pages 42-55.
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Yang Feng, Jinxia Zhu & Tak Kuen Siu. (2021) Optimal risk exposure and dividend payout policies under model uncertainty. Insurance: Mathematics and Economics 100, pages 1-29.
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Xuewen Sun, Meng Li, Qinyuan Qiu, Jian Song, Lei Zhu & Yinghuai Qiang. (2021) Charge transfer enhancement of TiO2/perovskite interface in perovskite solar cells. Journal of Materials Science: Materials in Electronics 32:18, pages 22936-22943.
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Ning Wang, Nan Zhang, Zhuo Jin & Linyi Qian. (2021) Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints. Insurance: Mathematics and Economics 96, pages 168-184.
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Hui Meng, Pu Liao & Tak Kuen Siu. (2019) Continuous-time optimal reinsurance strategy with nontrivial curved structures. Applied Mathematics and Computation 363, pages 124585.
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Jingyi Cao, Dongchen Li, Virginia R. Young & Bin Zou. (2021) Stackelberg Differential Game for Insurance Under Model Ambiguity. SSRN Electronic Journal.
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