演讲者:邹斌(康涅狄格大学)
时间:2023-04-13 16:30-17:30
地点:73882必赢网页版大楼M5024
Abstract
In this talk, I will present some recent development on Stackelberg reinsurance games. The first part introduces a tractable Stackelberg game model to study a single reinsurance contracting problem in which the insurer (buyer) chooses the contract indemnity, and the reinsurer (seller) sets the contract premium. We are able to obtain closed-form equilibrium strategies for both players and discuss their economic implications. The second part studies a chain of Stackelberg reinsurance games, in which the risk from the insurer is shared sequentially among n reinsurers. We not only solve such n linked games explicitly but also analyze the optimality of reinsurance chains. In the last part, we will briefly mention another reinsurance structure – tree, in which the risk from the insurer is shared parallelly among reinsurers.
This talk is based on a series of joint works with Jingyi Cao (York), Dongchen Li (Brock), and Virginia Young (Michigan).