Mean field and \(n\)-insurers games for robust optimal reinsurance-investment in correlated markets
From MaRDI portal
Publication:2698598
DOI10.3934/jimo.2022240OpenAlexW4312966358MaRDI QIDQ2698598
Publication date: 24 April 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.2022240
mean field gamesreinsurance-investment strategycorrelated markets\(n\)-insurers gamemodels uncertainty
Cites Work
- A class of non-zero-sum stochastic differential investment and reinsurance games
- Mean field games for stochastic growth with relative utility
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Mean field games
- Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
- On minimizing the ruin probability by investment and reinsurance
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Many-player games of optimal consumption and investment under relative performance criteria
- Reinsurance-investment game between two mean-variance insurers under model uncertainty
- Optimal non-proportional reinsurance control and stochastic differential games
- Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework
- A reinsurance game between two insurance companies with nonlinear risk processes
- Robust investment-reinsurance optimization with multiscale stochastic volatility
- A reinsurance and investment game between two insurance companies with the different opinions about some extra information
- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
- Risk, Ambiguity, and the Savage Axioms
- A stochastic differential reinsurance game
- The Dynamics of Inequality
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
- Mean field and n‐agent games for optimal investment under relative performance criteria
- Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
This page was built for publication: Mean field and \(n\)-insurers games for robust optimal reinsurance-investment in correlated markets
