An insurance network: Nash equilibrium

DOI10.1016/j.insmatheco.2005.10.005zbMath1132.91348OpenAlexW2165120596MaRDI QIDQ2492181

Yanyan Li

Publication date: 9 June 2006

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.10.005

zbMATH Keywords

controlreflectionspectral radiusdrifthalf spacevague convergencestate space constraints\(d\)-person dynamic gamedeterministic Skorokhod problemOrthantreinsurance model

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Stochastic integral equations (60H20)

Related Items (9)

Risk diversifying treaty between two companies with only one in insurance business ⋮ The Skorohod oblique reflection problem in time-dependent domains ⋮ Large deviations and exit-times for reflected McKean-Vlasov equations with self-stabilising terms and superlinear drifts ⋮ Stochastic variational inequalities with oblique subgradients ⋮ Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions ⋮ A \(d\)-person differential game with state space constraints ⋮ Equilibrium Pricing of General Insurance Policies ⋮ A multidimensional ruin problem and an associated notion of duality ⋮ Multidimensional Insurance Model with Risk-Reducing Treaty

Cites Work

• Reflected Brownian motion on an orthant
• State-dependent stochastic networks. I: Approximation and applications with continuous diffusion limits
• Optimal risk and dividend distribution control models for an insurance company
• A Subsidy-Surplus Model and the Skorokhod Problem in an Orthant
• Open Queueing Networks in Heavy Traffic
• On the variation of the difference of singular components in the skorokhod problem and on stochastic differential systems in a half-space
• Perspectives of Risk Sharing
• A lemma of variational distance between maximal functions with application to the skorokhod problem in a nonnegative orthant with state-dependent reflection directions
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
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