Dynamic risk-sharing game and reinsurance contract design (Q2415979): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Dynamic risk-sharing game and reinsurance contract design	scientific article

Statements

scholarly article

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Dynamic risk-sharing game and reinsurance contract design (English)

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Insurance Mathematics \& Economics

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publication date

23 May 2019

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zbMATH Keywords

reinsurance

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ruin probability

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Nash equilibrium

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stochastic control

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HJB equation

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MaRDI profile type

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full work available at URL

https://doi.org/10.1016/j.insmatheco.2019.03.004

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Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting

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Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints

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Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence

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Optimal Dividend Strategy for a General Diffusion Process with Time-Inconsistent Preferences and Ruin Penalty

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Optimal risk and dividend control of an insurance company with exponential premium principle and liquidation value

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Mean-variance asset-liability management with asset correlation risk and insurance liabilities

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

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On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria

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Optimal Insurance and Reinsurance Policies in the Risk Process

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Aspects of risk theory

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Optimal Dynamic XL Reinsurance

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Optimal risk control for a large corporation in the presence of returns on investments

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Robust reinsurance contracts in continuous time

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Robust reinsurance contracts with uncertainty about jump risk

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Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model

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The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model

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Optimal dynamic reinsurance with dependent risks: variance premium principle

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On reinsurance and investment for large insurance portfolios

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Applied stochastic control of jump diffusions.

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Optimal Proportional Reinsurance Policies in a Dynamic Setting

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Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers

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Optimal non-proportional reinsurance control and stochastic differential games

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Stochastic Pareto-optimal reinsurance policies

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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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Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models

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Identifiers

zbMATH Open document ID

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10.1016/j.insmatheco.2019.03.004

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2415979

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