An insurance network: Nash equilibrium

DOI10.1016/j.insmatheco.2005.10.005zbMath1132.91348MaRDI 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

control; reflection; spectral radius; drift; half space; vague convergence; state space constraints; \(d\)-person dynamic game; deterministic Skorokhod problem; Orthant; reinsurance model

Mathematics Subject Classification ID

91A23: Differential games (aspects of game theory)

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

91A15: Stochastic games, stochastic differential games

60H20: Stochastic integral equations

Related Items

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

Cites Work

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• 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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