A class of non-zero-sum stochastic differential investment and reinsurance games (Q466272): Difference between revisions

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+E20
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+B30
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+6361552
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+Hamiltonian-Jacobi-Bellman equation
@@ Property / zbMATH Keywords: Hamiltonian-Jacobi-Bellman equation / rank @@
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@@ Property / zbMATH Keywords @@
+non-zero-sum stochastic differential game
@@ Property / zbMATH Keywords: non-zero-sum stochastic differential game / rank @@
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@@ Property / zbMATH Keywords @@
+equilibrium investment
@@ Property / zbMATH Keywords: equilibrium investment / rank @@
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@@ Property / zbMATH Keywords @@
+equilibrium proportional reinsurance
@@ Property / zbMATH Keywords: equilibrium proportional reinsurance / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+regime switching
@@ Property / zbMATH Keywords: regime switching / rank @@
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@@ Property / zbMATH Keywords @@
+relative performance
@@ Property / zbMATH Keywords: relative performance / rank @@
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@@ Property / zbMATH Keywords @@
+Cramer-Lundberg model
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@@ Property / zbMATH Keywords @@
+Nash equilibrium
@@ Property / zbMATH Keywords: Nash equilibrium / rank @@
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@@ Property / zbMATH Keywords @@
+stochastic control
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+W1963798578
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@@ Property / cites work @@
+Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
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@@ Property / cites work @@
+Stochastic games for \(N\) players
@@ Property / cites work: Stochastic games for \(N\) players / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
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@@ Property / cites work @@
+Stochastic differential portfolio games
@@ Property / cites work: Stochastic differential portfolio games / rank @@
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@@ Property / cites work @@
+Q5609896
@@ Property / cites work: Q5609896 / rank @@
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+OPTIMAL CONSUMPTION AND INVESTMENT FOR A LARGE INVESTOR: AN INTENSITY-BASED CONTROL FRAMEWORK
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+Portfolio selection in stochastic markets with HARA utility functions
+Normal rank
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+Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
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+The Existence of Value in Stochastic Differential Games
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+A BSDE approach to a risk-based optimal investment of an insurer
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+Filtering a Markov Modulated Random Measure
@@ Property / cites work: Filtering a Markov Modulated Random Measure / rank @@
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+Betting Systems Which Minimize the Probability of Ruin
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+Loss Models
@@ Property / cites work: Loss Models / rank @@
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@@ Property / cites work @@
+Portfolio optimization under model uncertainty and BSDE games
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+Optimal reinsurance/investment problems for general insurance models
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+On the joint distribution of surplus before and after ruin under a Markovian regime switching model
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+Continuous-time stochastic control and optimization with financial applications
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+EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
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+A partial information non-zero sum differential game of backward stochastic differential equations with applications
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+Optimal investment for insurer with jump-diffusion risk process
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+A stochastic differential reinsurance game
@@ Property / cites work: A stochastic differential reinsurance game / rank @@
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+Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
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+Optimal control of the risk process in a regime-switching environment
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@@ Property / cites work @@
+On differentiability of ruin functions under Markov-modulated models
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@@ links / mardi / name / links / mardi / name @@
+Publication:466272