Stochastic differential investment-reinsurance games with capital injection-threshold dividend

zbMATH Open1399.91043MaRDI QIDQ3175929FDOQ3175929

Authors: Zongqi Sun, Zhiping Chen 

Publication date: 18 July 2018

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zbMATH Keywords

proportional reinsurancemodel riskstochastic differential gameinvestment strategiesHJBI equationcapital injection-threshold dividend

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15)

Cited In (3)

• Stochastic differential reinsurance games with capital injections
• Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty
• Stochastic differential investment-reinsurance games with capital injection-barrier dividend

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