Optimal robust reinsurance with multiple insurers published in SAJ

I’m excited to share that our paper Optimal robust reinsurance with multiple insurers has been published online in Scandinavian Actuarial Journal. In this joint work with Sebastian Jaimungal and Silvana Pesenti, we study an optimal reinsurance problem where a reinsurer faces multiple sources of model uncertainty. We characterize this as a Stackelberg game and present the solution for several types of common reinsurance agreements. Check it out here: https://doi.org/10.1080/03461238.2024.2431539