In this study, we investigate the competition among insurers under the mean–variance
criterion. The optimization problems are formulated for finite and infinite insurers. The …

This paper investigates a non-zero-sum stochastic differential game between two mean–
variance insurers. These two insurers are concerned about their terminal wealth and the …

We investigate the reinsurance contract and investment strategy problem between an
insurer and a reinsurer under the continuous-time framework. For the reinsurance contract …

This work investigates the equilibrium investment and reinsurance strategies for a general
insurance company under smooth ambiguity. The general insurance company holds shares …

In this paper, a class of reinsurance contracting problems is examined under a continuous-
time principal–agent framework with mean-variance criteria, where a reinsurer and an …

This paper aims to investigate optimal reinsurance contracts in a continuous-time modelling
framework from the perspective of a principal-agent problem. The reinsurer plays the role of …

This paper is concerned with the optimal portfolio problem for a company that can invest in
two risky assets, where a novel Lévy-process-driven model is constructed to describe the …

This paper will deal with the optimal reinsurance problem and will involve the goals of both
insurer and reinsurer. In particular, the study will incorporate the initial (before reinsurance) …

In this paper, we consider the equilibrium excess-of-loss reinsurance and investment
problem for both an insurer and a reinsurer. The risk process of the insurer is described by a …

The omega ratio is an interesting performance measure because it focuses on both
downside losses and upside gains, and actuarial/financial instruments are reflecting more …