3 papers
q-fin.RM2026
Optimal Reinsurance under Endogenous Default and Background Risk
Zongxia Liang, Zhaojie Ren, Bin Zou
This paper studies an optimal reinsurance problem for a utility-maximizing insurer, subject to the reinsurer's endogenous default and background risk. An endogenous default occurs…
q-fin.MF2026
Optimal Underreporting and Competitive Equilibrium
Zongxia Liang, Jiayu Zhang, Zhou Zhou +1
This paper develops a dynamic insurance market model comprising two competing insurance companies and a continuum of insureds, and examines the interaction between strategic underr…
math.OC2026
Mean-Field Games Under Model Uncertainty
Zongxia Liang, Zhou Zhou, Yaqi Zhuang +1
We study discrete-time, finite-state mean-field games (MFGs) under model uncertainty, where agents face ambiguity about the state transition probabilities. Each agent maximizes its…