Optimal non-proportional reinsurance control and stochastic differential games

DOI10.1016/j.insmatheco.2010.09.006zbMath1218.91064OpenAlexW2056534185MaRDI QIDQ2276206

Xudong Zeng, Michael I. Taksar

Publication date: 1 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.09.006

zbMATH Keywords

stochastic controlHJB equationruin probabilitystochastic differential gamenon-proportional reinsurance

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Auctions, bargaining, bidding and selling, and other market models (91B26)

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