A class of nonzero-sum investment and reinsurance games subject to systematic risks (Q4577200): Difference between revisions
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Revision as of 16:27, 5 March 2024
scientific article; zbMATH DE number 6904585
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A class of nonzero-sum investment and reinsurance games subject to systematic risks |
scientific article; zbMATH DE number 6904585 |
Statements
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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