Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints (Q2656996)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints |
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Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints (English)
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17 March 2021
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non-zero-sum stochastic differential game
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dynamic value-at-risk (VaR)
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quadratic risk process
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relative performance
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Nash equilibrium
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