Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model (Q2691381): Difference between revisions

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Property / full work available at URL: https://doi.org/10.3934/jimo.2022130 / rank
 
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Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model
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    Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model (English)
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    29 March 2023
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    non-zero sum game
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    optimal investment
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    constant elasticity of variance (CEV) model
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    Hamilton-Jacobi-Bellman (HJB) equation
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