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

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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

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

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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

DOI

10.1016/j.insmatheco.2023.11.004

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6152708

@@ Property / cites work @@
+Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
+Normal rank
@@ Property / cites work @@
+Benchmark and mean-variance problems for insurers
@@ Property / cites work: Benchmark and mean-variance problems for insurers / rank @@
+Normal rank
@@ Property / cites work @@
+A class of non-zero-sum stochastic differential investment and reinsurance games
+Normal rank
@@ Property / cites work @@
+Equilibrium reinsurance-investment strategies with partial information and common shock dependence
+Normal rank
@@ Property / cites work @@
+Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
+Normal rank
@@ Property / cites work @@
+Portfolio optimization with a defaultable security
+Normal rank
@@ Property / cites work @@
+Hazard rate for credit risk and hedging defaultable contingent claims
+Normal rank
@@ Property / cites work @@
+Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
+Normal rank
@@ Property / cites work @@
+Robust optimal reinsurance-investment strategy with price jumps and correlated claims
+Normal rank
@@ Property / cites work @@
+Non-zero-sum stochastic differential reinsurance and investment games with default risk
+Normal rank
@@ Property / cites work @@
+OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
+Normal rank
@@ Property / cites work @@
+A dynamic pricing game for general insurance market
+Normal rank
@@ Property / cites work @@
+Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
+Normal rank
@@ Property / cites work @@
+Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model
+Normal rank
@@ Property / cites work @@
+Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
+Normal rank
@@ Property / cites work @@
+Numerical solution of stochastic differential equations with jumps in finance
+Normal rank
@@ Property / cites work @@
+M-matrix characterizations. I: nonsingular M-matrices
+Normal rank
@@ Property / cites work @@
+Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
+Normal rank
@@ Property / cites work @@
+A class of nonzero-sum investment and reinsurance games subject to systematic risks
+Normal rank
@@ Property / cites work @@
+Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
+Normal rank
@@ Property / cites work @@
+Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
+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 @@
+Dynamic portfolio selection with mispricing and model ambiguity
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance policies for mean-variance insurers
+Normal rank
@@ Property / cites work @@
+Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps
+Normal rank
@@ Property / cites work @@
+Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
+Normal rank
@@ Property / cites work @@
+Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks
+Normal rank