Equilibrium reinsurance strategies for <i>n</i> insurers under a unified competition and cooperation framework (Q5861817): Difference between revisions

Latest revision as of 03:57, 28 July 2024

scientific article; zbMATH DE number 7483115

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English	Equilibrium reinsurance strategies for <i>n</i> insurers under a unified competition and cooperation framework	scientific article; zbMATH DE number 7483115

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instance of

scholarly article

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title

Equilibrium reinsurance strategies for <i>n</i> insurers under a unified competition and cooperation framework (English)

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Scandinavian Actuarial Journal

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publication date

2 March 2022

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zbMATH Keywords

reinsurance

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competition and cooperation

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equilibrium strategy

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stochastic optimal control

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HJB equation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03461238.2021.1918577

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cites work

Allocation of solvency cost in group annuities: Actuarial principles and cooperative game theory

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A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization

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Insurance with multiple insurers: a game-theoretic approach

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Traditional versus non-traditional reinsurance in a dynamic setting

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

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On agreements in a nonrenewable resource market: a cooperative differential game approach

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Competitive equilibria in a comonotone market

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

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STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE

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

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Optimal control and zero-sum stochastic differential game problems of mean-field type

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A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control

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Q5592031

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Competition among non-life insurers under solvency constraints: a game-theoretic approach

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The diffusion of complex securities: the case of CAT bonds

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Sustainable international monetary policy cooperation

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Aspects of risk theory

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Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model

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Time-consistent investment and reinsurance under relative performance concerns

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Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities

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On optimal reinsurance treaties in cooperative game under heterogeneous beliefs

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A dynamic programming approach to constrained portfolios

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Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps

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Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility

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How important is fiscal policy cooperation in a currency union?

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Optimal Proportional Reinsurance Policies in a Dynamic Setting

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

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PERSONAL NON-LIFE INSURANCE DECISIONS AND THE WELFARE LOSS FROM FLAT DEDUCTIBLES

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Stochastic cooperative games in insurance

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A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling

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Cooperation and game-theoretic cost allocation in stochastic inventory models with continuous review

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Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process

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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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Proportional reinsurance and investment in multiple risky assets under borrowing constraint

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Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling

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Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting

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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

zbMATH Open document ID

1491.91112

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DOI

10.1080/03461238.2021.1918577

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5861817

@@ Property / cites work @@
+Allocation of solvency cost in group annuities: Actuarial principles and cooperative game theory
+Normal rank
@@ Property / cites work @@
+A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
+Normal rank
@@ Property / cites work @@
+Insurance with multiple insurers: a game-theoretic approach
+Normal rank
@@ Property / cites work @@
+Traditional versus non-traditional reinsurance in a dynamic setting
+Normal rank
@@ Property / cites work @@
+A class of non-zero-sum stochastic differential investment and reinsurance games
+Normal rank
@@ Property / cites work @@
+On agreements in a nonrenewable resource market: a cooperative differential game approach
+Normal rank
@@ Property / cites work @@
+Competitive equilibria in a comonotone market
@@ Property / cites work: Competitive equilibria in a comonotone market / rank @@
+Normal rank
@@ Property / cites work @@
+Robust optimal reinsurance-investment strategy with price jumps and correlated claims
+Normal rank
@@ Property / cites work @@
+STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE
+Normal rank
@@ Property / cites work @@
+Non-zero-sum stochastic differential reinsurance and investment games with default risk
+Normal rank
@@ Property / cites work @@
+Optimal control and zero-sum stochastic differential game problems of mean-field type
+Normal rank
@@ Property / cites work @@
+A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
+Normal rank
@@ Property / cites work @@
+Q5592031
@@ Property / cites work: Q5592031 / rank @@
+Normal rank
@@ Property / cites work @@
+Competition among non-life insurers under solvency constraints: a game-theoretic approach
+Normal rank
@@ Property / cites work @@
+The diffusion of complex securities: the case of CAT bonds
+Normal rank
@@ Property / cites work @@
+Sustainable international monetary policy cooperation
+Normal rank
@@ Property / cites work @@
+Aspects of risk theory
@@ Property / cites work: Aspects of risk theory / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
+Normal rank
@@ Property / cites work @@
+Time-consistent investment and reinsurance under relative performance concerns
+Normal rank
@@ Property / cites work @@
+Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
+Normal rank
@@ Property / cites work @@
+On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
+Normal rank
@@ Property / cites work @@
+A dynamic programming approach to constrained portfolios
+Normal rank
@@ Property / cites work @@
+Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
+Normal rank
@@ Property / cites work @@
+Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility
+Normal rank
@@ Property / cites work @@
+How important is fiscal policy cooperation in a currency union?
+Normal rank
@@ Property / cites work @@
+Optimal Proportional Reinsurance Policies in a Dynamic Setting
+Normal rank
@@ Property / cites work @@
+A class of nonzero-sum investment and reinsurance games subject to systematic risks
+Normal rank
@@ Property / cites work @@
+PERSONAL NON-LIFE INSURANCE DECISIONS AND THE WELFARE LOSS FROM FLAT DEDUCTIBLES
+Normal rank
@@ Property / cites work @@
+Stochastic cooperative games in insurance
@@ Property / cites work: Stochastic cooperative games in insurance / rank @@
+Normal rank
@@ Property / cites work @@
+A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling
+Normal rank
@@ Property / cites work @@
+Cooperation and game-theoretic cost allocation in stochastic inventory models with continuous review
+Normal rank
@@ Property / cites work @@
+Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process
+Normal rank
@@ Property / cites work @@
+Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework
+Normal rank
@@ Property / cites work @@
+Proportional reinsurance and investment in multiple risky assets under borrowing constraint
+Normal rank
@@ Property / cites work @@
+Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
+Normal rank
@@ Property / cites work @@
+Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
+Normal rank
@@ Property / cites work @@
+Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks
+Normal rank