A reinsurance and investment game between two insurance companies with the different opinions about some extra information
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Publication:2364007
DOI10.1016/J.INSMATHECO.2017.04.002zbMATH Open1394.91239OpenAlexW2610262592MaRDI QIDQ2364007FDOQ2364007
Authors: Ming Yan, Fanyi Peng, Shuhua Zhang 
Publication date: 17 July 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.04.002
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enlargement of filtrationHamilton-Jacobi-Bellman equationsNash equilibriumrelative performancenon-zero-sum stochastic differential game
Portfolio theory (91G10) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)
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Cited In (19)
- Expected utility maximization for an insurer with investment and risk control under inside information
- Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk
- Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
- Mean-variance asset-liability management with inside information
- 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 non-zero-sum reinsurance-investment game with delay and asymmetric information
- Robust optimal investment and reinsurance for an insurer with inside information
- Non-zero-sum reinsurance and investment game under thinning dependence structure: mean–variance premium principle
- A Stackelberg reinsurance-investment game with derivatives trading
- Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market
- A Stackelberg reinsurance-investment game with asymmetric information and delay
- 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 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 hybrid stochastic differential reinsurance and investment game with bounded memory
- Mean field and \(n\)-insurers games for robust optimal reinsurance-investment in correlated markets
- Stochastic differential reinsurance game for two competitive insurers with ambiguity-aversion under mean-variance premium principle
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