ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER (Q4562959): Difference between revisions

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scientific article; zbMATH DE number 6881269

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English	ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER	scientific article; zbMATH DE number 6881269

Statements

instance of

scholarly article

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title

ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER (English)

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6 June 2018

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zbMATH Keywords

Stackelberg game

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proportional reinsurance

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stochastic Hamilton-Jacobi-Bellman equation

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backward stochastic differential equation

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variance premium principle

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1017/asb.2018.3

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cites work

The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games

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A class of non-zero-sum stochastic differential investment and reinsurance games

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Stochastic differential portfolio games

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Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest

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OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER

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Constrained investment-reinsurance optimization with regime switching under variance premium principle

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Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers

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Optimal advertising and pricing in a dynamic durable goods supply chain

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Utility maximization in incomplete markets

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Optimal proportional reinsurance policies for diffusion models

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Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods

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Backward stochastic differential equations and partial differential equations with quadratic growth.

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Optimality of excess-loss reinsurance under a mean-variance criterion

0 references

Stochastic differential portfolio games for an insurer in a jump-diffusion risk process

0 references

A reinsurance game between two insurance companies with nonlinear risk processes

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Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem

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Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models

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Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps

0 references

Stochastic Hamilton–Jacobi–Bellman Equations

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Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)

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Q4663402

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Optimal investment-consumption-insurance with random parameters

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Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach

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Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process

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Leader-follower stochastic differential game with asymmetric information and applications

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Optimal non-proportional reinsurance control and stochastic differential games

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Q4610958

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Optimal investment for insurer with jump-diffusion risk process

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A Leader-Follower Stochastic Linear Quadratic Differential Game

0 references

A stochastic differential reinsurance game

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Optimal time-consistent investment and reinsurance policies for mean-variance insurers

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Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps

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Optimal investment and reinsurance of an insurer with model uncertainty

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Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security

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Identifiers

zbMATH Open document ID

1390.91170

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DOI

10.1017/asb.2018.3

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4562959

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@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1017/asb.2018.3
+Normal rank
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+W2791073367
@@ Property / OpenAlex ID: W2791073367 / rank @@
+Normal rank
@@ Property / cites work @@
+The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games
+Normal rank
@@ Property / cites work @@
+A class of non-zero-sum stochastic differential investment and reinsurance games
+Normal rank
@@ Property / cites work @@
+Stochastic differential portfolio games
@@ Property / cites work: Stochastic differential portfolio games / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
+Normal rank
@@ Property / cites work @@
+OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER
+Normal rank
@@ Property / cites work @@
+Constrained investment-reinsurance optimization with regime switching under variance premium principle
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
+Normal rank
@@ Property / cites work @@
+Optimal advertising and pricing in a dynamic durable goods supply chain
+Normal rank
@@ Property / cites work @@
+Utility maximization in incomplete markets
@@ Property / cites work: Utility maximization in incomplete markets / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance policies for diffusion models
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
+Normal rank
@@ Property / cites work @@
+Optimality of excess-loss reinsurance under a mean-variance criterion
+Normal rank
@@ Property / cites work @@
+Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
+Normal rank
@@ Property / cites work @@
+A reinsurance game between two insurance companies with nonlinear risk processes
+Normal rank
@@ Property / cites work @@
+Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
+Normal rank
@@ Property / cites work @@
+Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models
+Normal rank
@@ Property / cites work @@
+Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps
+Normal rank
@@ Property / cites work @@
+Stochastic Hamilton–Jacobi–Bellman Equations
@@ Property / cites work: Stochastic Hamilton–Jacobi–Bellman Equations / rank @@
+Normal rank
@@ Property / cites work @@
+Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
+Normal rank
@@ Property / cites work @@
+Q4663402
@@ Property / cites work: Q4663402 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment-consumption-insurance with random parameters
+Normal rank
@@ Property / cites work @@
+Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
+Normal rank
@@ Property / cites work @@
+Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
+Normal rank
@@ Property / cites work @@
+Leader-follower stochastic differential game with asymmetric information and applications
+Normal rank
@@ Property / cites work @@
+Optimal non-proportional reinsurance control and stochastic differential games
+Normal rank
@@ Property / cites work @@
+Q4610958
@@ Property / cites work: Q4610958 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurer with jump-diffusion risk process
+Normal rank
@@ Property / cites work @@
+A Leader-Follower Stochastic Linear Quadratic Differential Game
+Normal rank
@@ Property / cites work @@
+A stochastic differential reinsurance game
@@ Property / cites work: A stochastic differential reinsurance game / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance policies for mean-variance insurers
+Normal rank
@@ Property / cites work @@
+Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
+Normal rank
@@ Property / cites work @@
+Optimal investment and reinsurance of an insurer with model uncertainty
+Normal rank
@@ Property / cites work @@
+Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:4562959