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