A reinsurance and investment game between two insurers under the CEV model
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Cites work
- A class of non-zero-sum stochastic differential investment and reinsurance games
- A class of nonzero-sum investment and reinsurance games subject to systematic risks
- Continuous-time stochastic control and optimization with financial applications
- Loss models. From data to decisions
- Non-zero-sum stochastic differential reinsurance and investment games with default risk
- On the constant elasticity of variance model for the utility maximization problem with multiple risky assets
- Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model
- Optimal portfolios for DC pension plans under a CEV model
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model
- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
- Stochastic differential games between two insurers with generalized mean-variance premium principle
- Time-consistent investment and reinsurance under relative performance concerns
- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
Cited in
(12)- scientific article; zbMATH DE number 6612494 (Why is no real title available?)
- scientific article; zbMATH DE number 6255454 (Why is no real title available?)
- Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
- Time-consistent reinsurance and investment game with default risk under CEV model
- The investment and reinsurance game of insurers and reinsurers with default risk under CEV model
- A reinsurance game between two insurance companies with nonlinear risk processes
- Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model
- Optimal reinsurance-investment problem under a CEV model: stochastic differential game formulation
- Stochastic differential game strategies in the presence of reinsurance and dividend payout
- Reinsurance-investment game between two mean-variance insurers under model uncertainty
- Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model
- Non-zero-sum stochastic differential games on investment, consumption and proportional reinsurance
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