A non-zero-sum stochastic differential game between two mean-variance insurers with inside information

DOI10.3934/jimo.2022209OpenAlexW4312991661MaRDI QIDQ2691503

Fenge Chen, Zhiqiang He, Xing-Chun Peng

Publication date: 29 March 2023

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2022209

zbMATH Keywords

mean-variance criteriontime-consistent strategyinside informationinvestment-reinsurancenon-zero-sum game

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Financial and insurance mathematics (aspects of mathematics education) (97M30)

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