Reinsurance and investment for mean-variance stochastic differential games

DOI10.3969/J.ISSN.1001-8395.2016.02.017MaRDI QIDQ2824375zbMATH OpenFDO

Authors Peng Yang, Qi Liu

Publication date 6 October 2016

Published in Journal of Sichuan Normal University. Natural Science (Search for Journal in Brave)

zbMATH Keywords

investmentstochastic differential gameslinear-quadratic controlmean-variance criterionreinsurance

Mathematics Subject Classification ID

Portfolio theory (91G10) Applications of optimal control and differential games (49N90) Stochastic games, stochastic differential games (91A15)

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Cited in

(13)

• Optimal reinsurance and investment for stochastic differential games with inflation influence
• Optimal reinsurance and investment based on stochastic differential games with Vasicek interest rate
• Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
• Stochastic differential reinsurance games with capital injections
• Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty
• A Stackelberg reinsurance-investment game with derivatives trading
• Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
• Stochastic differential gamer for multiple decision makers based on utility and mean-variance criterion
• Stackelberg differential game for reinsurance: mean-variance framework and random horizon
• Stochastic differential game formulation on the reinsurance and investment problem
• A Stackelberg reinsurance-investment game under Heston's stochastic volatility model
• Optimal stochastic differential games with VaR constraints
• Mean field and \(n\)-insurers games for robust optimal reinsurance-investment in correlated markets

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