A Stackelberg reinsurance–investment game with asymmetric information and delay
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Publication:5860820
DOI10.1080/02331934.2020.1777125zbMath1475.91282OpenAlexW3034835897MaRDI QIDQ5860820
Rui Gao, Helu Xiao, Yanfei Bai, Zhongbao Zhou
Publication date: 23 November 2021
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2020.1777125
Hierarchical games (including Stackelberg games) (91A65) Applications of game theory (91A80) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15) Actuarial mathematics (91G05)
Related Items (13)
Robust reinsurance contract with learning and ambiguity aversion ⋮ A linear quadratic stochastic Stackelberg differential game with time delay ⋮ Stackelberg differential game for reinsurance: mean-variance framework and random horizon ⋮ Existence of value functions of differential games with incomplete information in partially order spaces ⋮ A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility ⋮ A hybrid reinsurance-investment game with delay and asymmetric information ⋮ A Stackelberg reinsurance-investment game with derivatives trading ⋮ Stackelberg differential game for insurance under model ambiguity: general divergence ⋮ Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model ⋮ The investment and reinsurance game of insurers and reinsurers with default risk under CEV model ⋮ A Stackelberg reinsurance-investment game under Heston's stochastic volatility model ⋮ A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market ⋮ Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk
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