Footnote:
In: European Journal of Operational Research
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 23, 2023 erstellt
Description:
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, respectively. The reinsurance contracting problems between the insurer and reinsurers are resolved by Stackelberg differ- ential games, and the reinsurance competition between two reinsurers is settled by a non-cooperative Nash game. We obtain the closed-form equilibrium strategies for all three players under both a tree structure and a chain structure. A detailed comparison study reveals that the tree structure is preferred to the chain structure from a social planner’s perspective, and the tree structure is generally preferred from the insurer’s perspective