Robust equilibrium investment and reinsurance strategy with bounded memory and common shock dependence

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Publication:5034784

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DOI10.1051/ro/2021182zbMath1482.91185OpenAlexW4200600246MaRDI QIDQ5034784

Publication date: 21 February 2022

Published in: RAIRO - Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/ro/2021182

zbMATH Keywords

game theory jump-diffusion mean-variance robust investment and reinsurance two-dimensional claim

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Actuarial mathematics (91G05)

Related Items (1)

The investment and reinsurance game of insurers and reinsurers with default risk under CEV model

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