A Stackelberg reinsurance-investment game with asymmetric information and delay

• Published in: Optimization Vol. 70; no. 10; pp. 2131 - 2168
• Main Authors: Bai, Yanfei, Zhou, Zhongbao, Xiao, Helu, Gao, Rui
• Format: Journal Article
• Language: English
• Published: Philadelphia Taylor & Francis 03.10.2021; Taylor & Francis LLC
• Subjects: asymmetric information; Asymmetry; delay; Delay time; Equilibrium; Game theory; Games; investment; Investment policy; Investment strategy; Reinsurance; Securities markets; Stackelberg stochastic differential game

This paper investigates a Stackelberg stochastic differential reinsurance-investment game problem, in which the reinsurer is the leader and the insurer is the follower. The unequal status of the reinsurer and the insurer in the financial market is characterized by the asymmetric information model. W...