English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

This paper investigates a Stackelberg game between an insurer and a reinsurerunder the $\alpha$-maxmin mean-variance criterion. The insurer can purchaseper-loss reinsurance from the reinsurer. With the insurer's feedbackreinsurance strategy, the reinsurer optimizes the reinsurance premium in theStackelberg game. The financial market consists of cash and stock with Heston'sstochastic volatility. Both the insurer and reinsurer maximize their respective$\alpha$-maxmin mean-variance preferences in the market. The criterion istime-inconsistent and we derive the equilibrium strategies by the extendedHamilton-Jacobi-Bellman equations. Similar to the non-robust case in Li andYoung (2022), excess-of-loss reinsurance is the optimal form of reinsurancestrategy for the insurer. The equilibrium investment strategy is determined bya system of Riccati differential equations. Besides, the equations determiningthe equilibrium reinsurance strategy and reinsurance premium rate are givensemi-explicitly, which is simplified to an algebraic equation in a specificexample. Numerical examples illustrate that the game between the insurer andreinsurer makes the insurance more radical when the agents become moreambiguity aversion or risk aversion. Furthermore, the level of ambiguity,ambiguity attitude, and risk attitude of the insurer (reinsurer) have similareffects on the equilibrium reinsurance strategy, reinsurance premium, andinvestment strategy.

A Stackelberg reinsurance-investment game under $\alpha$-maxmin mean-variance criterion and stochastic volatility