Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks (Q6152708): Difference between revisions

Latest revision as of 18:56, 30 December 2024

scientific article; zbMATH DE number 7804021

Language	Label	Description	Also known as
English	Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks	scientific article; zbMATH DE number 7804021

Statements

instance of

scholarly article

0 references

title

Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks (English)

0 references

published in

Insurance Mathematics \& Economics

0 references

publication date

13 February 2024

0 references

zbMATH Keywords

game theory

0 references

reinsurance-investment strategy

0 references

mispricing

0 references

default risk

0 references

M-matrix

0 references

MaRDI profile type

Publication

0 references

full work available at URL

https://doi.org/10.1016/j.insmatheco.2023.11.004

0 references

cites work

Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints

0 references

Benchmark and mean-variance problems for insurers

0 references

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

0 references

Equilibrium reinsurance-investment strategies with partial information and common shock dependence

0 references

Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer

0 references

Portfolio optimization with a defaultable security

0 references

Hazard rate for credit risk and hedging defaultable contingent claims

0 references

Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

0 references

Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation

0 references

Robust optimal reinsurance-investment strategy with price jumps and correlated claims

0 references

Non-zero-sum stochastic differential reinsurance and investment games with default risk

0 references

OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS

0 references

Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity

0 references

A dynamic pricing game for general insurance market

0 references

Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model

0 references

Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model

0 references

Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model

0 references

Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model

0 references

Numerical solution of stochastic differential equations with jumps in finance

0 references

M-matrix characterizations. I: nonsingular M-matrices

0 references

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

0 references

A class of nonzero-sum investment and reinsurance games subject to systematic risks

0 references

Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility

0 references

Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints

0 references

Optimal investment and reinsurance strategies under 4/2 stochastic volatility model

0 references

Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework

0 references

Dynamic portfolio selection with mispricing and model ambiguity

0 references

Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework

0 references

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

0 references

Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps

0 references

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

0 references

Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks

0 references

Identifiers

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

10.1016/J.INSMATHECO.2023.11.004

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:6152708

@@ Property / DOI @@
-.1016/j.insmatheco.2023.11.004
@@ Property / DOI: 10.1016/j.insmatheco.2023.11.004 / rank @@
-Normal rank
@@ Property / DOI @@
+.1016/J.INSMATHECO.2023.11.004
@@ Property / DOI: 10.1016/J.INSMATHECO.2023.11.004 / rank @@
+Normal rank