Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods

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Cites work

scientific article; zbMATH DE number 1577097 (Why is no real title available?)
A BSDE approach to optimal investment of an insurer with hidden regime switching
A BSDE approach to risk-based asset allocation of pension funds with regime switching
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A stochastic differential reinsurance game
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Discrete-time singularly perturbed Markov chains: aggregation, occupation measures, and switching diffusion limit
Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction
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Optimal investment and reinsurance in a jump diffusion risk model
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Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
Stability of regime-switching jump diffusions
Stochastic cooperative games in insurance
The convergence problem for differential games
The existence of value in differential games

Cited in

(29)

On a Markovian game model for competitive insurance pricing
Optimal debt ratio and dividend payment strategies with reinsurance
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Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance
Optimal active lifetime investment
Lookback option pricing for regime-switching jump diffusion models
Reinsurance games with two reinsurers: tree versus chain
Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process
Equilibrium strategies in a defined benefit pension plan game with regime switching
Optimal investment-reinsurance policy with regime switching and value-at-risk constraint
Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model
Optimal dividend payment strategies with debt constraint in a hybrid regime-switching jump-diffusion model
Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
A hybrid deep learning method for optimal insurance strategies: algorithms and convergence analysis
On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer
Constrained investment-reinsurance optimization with regime switching under variance premium principle
Optimal investment and risk control for an insurer with stochastic factor
Optimal investment and risk control policies for an insurer: expected utility maximization
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 reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function
Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models
Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market
Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model
A non-zero-sum stochastic differential game between two mean-variance insurers with inside information
Stochastic differential reinsurance and investment games with delay under VaR constraints⋆
A survey of numerical solutions for stochastic control problems: some recent progress
Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility

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