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q-fin.MF2024
Robust mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty
Guohui Guan, Zongxia Liang, Yi Xia
This paper investigates robust stochastic differential games among insurers under model uncertainty and stochastic volatility. The surplus processes of ambiguity-averse insurers (A…
q-fin.MF2024
Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets
Guohui Guan, Zongxia Liang, Yi Xia
This paper studies the robust reinsurance and investment games for competitive insurers. Model uncertainty is characterized by a class of equivalent probability measures. Each insu…
q-fin.MF2024
A Two-layer Stochastic Game Approach to Reinsurance Contracting and Competition
Zongxia Liang, Yi Xia, Bin Zou
We propose a two-layer stochastic game model to study reinsurance contracting and competition in a market with one insurer and two competing reinsurers. The insurer negotiates with…