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

Latest revision as of 19:56, 30 December 2024

scientific article; zbMATH DE number 7804021

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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

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title

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

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published in

Insurance Mathematics \& Economics

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publication date

13 February 2024

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zbMATH Keywords

game theory

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reinsurance-investment strategy

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mispricing

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default risk

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M-matrix

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MaRDI profile type

Publication

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full work available at URL

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

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cites work

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

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Benchmark and mean-variance problems for insurers

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

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

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

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Portfolio optimization with a defaultable security

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Hazard rate for credit risk and hedging defaultable contingent claims

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

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

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

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

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OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS

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

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A dynamic pricing game for general insurance market

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

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

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

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

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Numerical solution of stochastic differential equations with jumps in finance

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M-matrix characterizations. I: nonsingular M-matrices

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

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

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

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

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

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

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Dynamic portfolio selection with mispricing and model ambiguity

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

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

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

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

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

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Identifiers

Mathematics Subject Classification ID

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10.1016/J.INSMATHECO.2023.11.004

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Sitelinks

Mathematics(1 entry)

mardi Publication:6152708

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