Optimal non-proportional reinsurance control and stochastic differential games

DOI10.1016/J.INSMATHECO.2010.09.006zbMATH Open1218.91064OpenAlexW2056534185MaRDI QIDQ2276206FDOQ2276206

Authors: Xudong Zeng, Michael 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

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zbMATH Keywords

HJB equation ruin probability stochastic control stochastic differential game non-proportional reinsurance

Mathematics Subject Classification ID

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

Cites Work

Dynamic noncooperative game theory
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Optimal non-proportional reinsurance control
Optimality results for dividend problems in insurance
Optimal risk and dividend distribution control models for an insurance company
Stochastic differential portfolio games
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Stochastic cooperative games in insurance
Optimal Play in a Stochastic Differential Game
The Existence of Value in Stochastic Differential Games
A stochastic differential reinsurance game
Dynamically stable cooperative solutions in randomly furcating differential games
Optimal reinsurance with a rescuing procedure

Cited In (45)

Two-player zero-sum stochastic differential games with regime switching
Dynamic risk-sharing game and reinsurance contract design
A stochastic differential reinsurance game
Optimal reinsurance and investment based on stochastic differential games with Vasicek interest rate
Optimal investment problem between two insurers with value-added service
On a class of non-zero-sum stochastic differential dividend games with regime switching
The optimal deductible and coverage in insurance contracts and equilibrium risk sharing policies
Equilibrium strategies in a defined benefit pension plan game with regime switching
A Stackelberg reinsurance-investment game with derivatives trading
A game between two insurance companies with jump-diffusion risk model
A reinsurance game between two insurance companies with nonlinear risk processes
Optimal reinsurance strategy for an insurer and a reinsurer with generalized variance premium principle
A reinsurance and investment game between two insurance companies with the different opinions about some extra information
Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model
A stochastic differential game for quadratic-linear diffusion processes
Minimal cost of a Brownian risk without ruin
Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
Optimal reinsurance-investment problem under a CEV model: stochastic differential game formulation
Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market
Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods
Nonzero-sum stochastic differential reinsurance games with jump-diffusion processes
Stochastic differential game strategies in the presence of reinsurance and dividend payout
Stochastic differential reinsurance games in diffusion approximation models
Non-zero-sum stochastic differential reinsurance and investment games with default risk
Time-consistent investment and reinsurance under relative performance concerns
A Stackelberg reinsurance-investment game with asymmetric information and delay
Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
Stochastic Brownian Game of Absolute Dominance
A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market
Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models
Stochastic differential game formulation on the reinsurance and investment problem
A Stackelberg reinsurance-investment game under Heston's stochastic volatility model
A non-zero-sum stochastic differential game between two mean-variance insurers with inside information
A two-layer stochastic game approach to reinsurance contracting and competition
Optimal reinsurance strategy with mean-variance premium principle and relative performance concern
Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process
Optimal stochastic differential games with VaR constraints
Non-zero-sum stochastic differential games on investment, consumption and proportional reinsurance
Mean field and \(n\)-insurers games for robust optimal reinsurance-investment in correlated markets
Optimal reinsurance contract in a Stackelberg game framework: a view of social planner
A two-layer stochastic differential investment and reinsurance game with default risk under the bi-fractional Brownian motion environment
On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer
Stochastic differential games between two insurers with generalized mean-variance premium principle
A hybrid reinsurance-investment game with delay and asymmetric information

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