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Latest revision as of 03:13, 16 July 2024

scientific article; zbMATH DE number 6904585
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A class of nonzero-sum investment and reinsurance games subject to systematic risks
scientific article; zbMATH DE number 6904585

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    A class of nonzero-sum investment and reinsurance games subject to systematic risks (English)
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    17 July 2018
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    nonzero-sum stochastic differential game
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    systematic risks
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    compound Poisson risk model
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    excess-of-loss reinsurance
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    Heston stochastic volatility model
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    Nash equilibrium
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    Hamilton-Jacobi-Bellman (HJB) equation
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    fixed-point problems
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    \(\epsilon\)-Nash equilibrium
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