Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
From MaRDI portal
Publication:1935921
DOI10.1007/s00186-011-0376-zzbMath1276.91095MaRDI QIDQ1935921
Tak Kuen Siu, Xiang Lin, Chun-Hong Zhang
Publication date: 20 February 2013
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-011-0376-z
91A05: 2-person games
91A23: Differential games (aspects of game theory)
91A40: Other game-theoretic models
49N10: Linear-quadratic optimal control problems
91G80: Financial applications of other theories
91A15: Stochastic games, stochastic differential games
91G10: Portfolio theory
Related Items
ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER, Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond, Uncertainty Quantification of Derivative Instruments, Relationship between maximum principle and dynamic programming for stochastic differential games of jump diffusions, Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model, Zero-sum stochastic linear-quadratic Stackelberg differential games with jumps, Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model, Stochastic Nash games for Markov jump linear systems with state- and control-dependent noise, Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities, Robust optimal reinsurance-investment strategy with price jumps and correlated claims, Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps, Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model, Stochastic maximum principle for partial information optimal investment and dividend problem of an insurer, Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion, Robust optimal investment and reinsurance problem for a general insurance company under Heston model, Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model, Nonzero-sum stochastic differential reinsurance games with jump-diffusion processes, A non-zero-sum reinsurance-investment game with delay and asymmetric information, Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps, A continuous-time theory of reinsurance chains, Optimal risk exposure and dividend payout policies under model uncertainty, Optimal reinsurance and investment strategy with delay in Heston's SV model, Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion, Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model, Worst-case investment and reinsurance optimization for an insurer under model uncertainty, Risk-adjusted bowley reinsurance under distorted probabilities, Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach, Optimal investment, consumption and proportional reinsurance under model uncertainty, Robust optimal investment and reinsurance for an insurer with inside information
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Optimal investment and reinsurance of an insurer with model uncertainty
- Risk theory for the compound Poisson process that is perturbed by diffusion
- Worst-case scenario portfolio optimization: a new stochastic control approach
- Differential games of inf-sup type and Isaacs equations
- Optimal investment for insurer with jump-diffusion risk process
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
- Robust optimal portfolio choice under Markovian regime-switching model
- Maxmin expected utility with non-unique prior
- The convergence problem for differential games
- Aspects of risk theory
- Optimal non-proportional reinsurance control and stochastic differential games
- Worst-case scenario investment for insurers
- Risk, Ambiguity, and the Savage Axioms
- OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH
- Risk minimizing portfolios and HJBI equations for stochastic differential games
- On Worst-Case Portfolio Optimization
- A stochastic differential reinsurance game
- The Existence of Value in Stochastic Differential Games
- Stochastic differential portfolio games
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- On Some Differential Games
- On the Existence of Solutions to a Differential Game
- A max-min differential game in Hilbert space
- A discussion of parameter and model uncertainty in insurance
