scientific article; zbMATH DE number 6612494

DOI10.3969/J.ISSN.1005-3085.2016.01.001MaRDI QIDQ2993975zbMATH OpenFDO

Authors Suxin Wang, Hui Zhao, Ximin Rong

Publication date 10 August 2016

Full work available at URL https://doi.org/10.3969/J.ISSN.1005-3085.2016.01.001

zbMATH Keywords

exponential utility functionHeston modeloptimal investment for reinsurerproportional reinsurance

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15) Stochastic models in economics (91B70) Portfolio theory (91G10)

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(6)

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• Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay
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• Optimal investment and reinsurance of an insurer with model uncertainty

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