Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models

DOI10.1016/j.nahs.2019.01.002zbMath1426.91205arXiv1809.05136MaRDI QIDQ2327617

George Yin, Zhuo Jin, Xiang Cheng, Trang Bui

Publication date: 15 October 2019

Published in: Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.05136

zbMATH Keywords

stochastic control; regime switching; investment; reinsurance; non-zero-sum game

Mathematics Subject Classification ID

91A23: Differential games (aspects of game theory)

91A15: Stochastic games, stochastic differential games

91G05: Actuarial mathematics