Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods
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Publication:2015641
DOI10.1016/J.INSMATHECO.2013.09.015zbMATH Open1290.91090OpenAlexW1979669625MaRDI QIDQ2015641FDOQ2015641
Authors: Zhuo Jin, Fuke Wu, G. Yin 
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.09.015
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Diffusion processes (60J60) Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15)
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Cited In (29)
- Reinsurance games with two reinsurers: tree versus chain
- Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model
- Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility
- Optimal investment and risk control policies for an insurer: expected utility maximization
- Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
- A survey of numerical solutions for stochastic control problems: some recent progress
- Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function
- Optimal investment-reinsurance policy with regime switching and value-at-risk constraint
- Equilibrium strategies in a defined benefit pension plan game with regime switching
- Backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure
- A class of non-zero-sum stochastic differential games between two mean–variance insurers under stochastic volatility
- Optimal dividend payment strategies with debt constraint in a hybrid regime-switching jump-diffusion model
- A reinsurance game between two insurance companies with nonlinear risk processes
- Lookback option pricing for regime-switching jump diffusion models
- Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model
- A hybrid deep learning method for optimal insurance strategies: algorithms and convergence analysis
- Constrained investment-reinsurance optimization with regime switching under variance premium principle
- On a Markovian game model for competitive insurance pricing
- Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market
- Optimal active lifetime investment
- Optimal debt ratio and dividend payment strategies with reinsurance
- Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
- Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models
- A non-zero-sum stochastic differential game between two mean-variance insurers with inside information
- Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process
- Stochastic differential reinsurance and investment games with delay under VaR constraints⋆
- On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer
- Optimal investment and risk control for an insurer with stochastic factor
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