A reinsurance and investment game between two insurance companies with the different opinions about some extra information
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Publication:2364007
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Cites work
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- scientific article; zbMATH DE number 5223066 (Why is no real title available?)
- scientific article; zbMATH DE number 3333061 (Why is no real title available?)
- A class of non-zero-sum stochastic differential investment and reinsurance games
- A reinsurance game between two insurance companies with nonlinear risk processes
- A stochastic Nash equilibrium portfolio game between two DC pension funds
- An upwind finite-difference method for the approximation of viscosity solutions to Hamilton-Jacobi-Bellman equations
- Anticipative portfolio optimization
- Games and information. An introduction to game theory.
- Introduction to stochastic calculus for finance. A new didactic approach.
- Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal investment and reinsurance policies in insurance markets under the effect of inside information
- Optimal investment and risk control for an insurer under inside information
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment under relative performance concerns
- Optimal investment-reinsurance policy for an insurance company with VaR constraint
- Optimal non-proportional reinsurance control and stochastic differential games
- Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
- Optimal reinsurance/investment problems for general insurance models
- Robust non-zero-sum stochastic differential reinsurance game
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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