A reinsurance and investment game between two insurers under the CEV model
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Publication:2007108
DOI10.1155/2020/4696941zbMATH Open1459.91168OpenAlexW3080288118MaRDI QIDQ2007108FDOQ2007108
Shuo Cheng, Gongliang Zhang, Ming Cao, Zi-Ye Li
Publication date: 12 October 2020
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2020/4696941
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Actuarial mathematics (91G05) Applications of game theory (91A80) Differential games (aspects of game theory) (91A23)
Cites Work
- Loss models. From data to decisions
- Continuous-time stochastic control and optimization with financial applications
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal portfolios for DC pension plans under a CEV model
- A class of non-zero-sum stochastic differential investment and reinsurance games
- Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model
- Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model
- Time-consistent mean-variance reinsurance-investment strategy for insurers under 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
- 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
- Time-consistent investment and reinsurance under relative performance concerns
- A class of nonzero-sum investment and reinsurance games subject to systematic risks
Cited In (5)
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- Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
- Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model
- Stochastic differential game strategies in the presence of reinsurance and dividend payout
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