Mathematical Finance, Stochastic Analysis, and Machine Learning Seminar by Bin Zou: Stackelberg Reinsurance Games: Introduction, Equilibrium, and Structure

Speaker:  Bin Zou, University of Connecticut

Title: Stackelberg Reinsurance Games: Introduction, Equilibrium, and Structure.

Abstract: The first part of the talk introduces Stackelberg reinsurance games in a market consisting of one insurer and two reinsurers, in which all players are ambiguous about the primary risk. The second part aims to solve such reinsurance games and obtain equilibrium controls for all players under a reinsurance tree structure (i.e., two reinsurers compete for business from the insurer). The last part further considers an alternative structure, a reinsurance chain, and studies the optimality of market structures from the perspectives of the insurer and a social planner. This talk is based on a series of joint works with Jingyi Cao (York), Dongchen Li (Brock), and Virginia Young (Michigan).

 

Mathematical Finance, Stochastic Analysis, and Machine Learning Seminar