Robust non-zero-sum stochastic differential reinsurance game
From MaRDI portal
Publication:320290
DOI10.1016/J.INSMATHECO.2016.02.007zbMATH Open1369.91094OpenAlexW2311735524WikidataQ58980736 ScholiaQ58980736MaRDI QIDQ320290FDOQ320290
Publication date: 6 October 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://hdl.handle.net/10356/81378
Recommendations
- Robust non-zero-sum investment and reinsurance game with default risk
- Reinsurance-investment game between two mean-variance insurers under model uncertainty
- Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
- Non-zero-sum reinsurance games subject to ambiguous correlations
- A class of non-zero-sum stochastic differential investment and reinsurance games
model uncertaintyNash equilibriumreinsuranceHamiltonian-Jacobi-Bellman-Isaacs equationnon-zero-sum stochastic differential gamerelative performance concerns
Cites Work
- Loss Models
- Risk, ambiguity and the Savage axioms
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Optimal investment and reinsurance of an insurer with model uncertainty
- On minimizing the ruin probability by investment and reinsurance
- Variance swap with mean reversion, multifactor stochastic volatility and jumps
- Robust investment-reinsurance optimization with multiscale stochastic volatility
- A class of non-zero-sum stochastic differential investment and reinsurance games
- OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
- Optimal reinsurance/investment problems for general insurance models
- On reinsurance and investment for large insurance portfolios
Cited In (33)
- G-expected utility maximization with ambiguous equicorrelation
- Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models
- Household consumption-investment-insurance decisions with uncertain income and market ambiguity
- Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
- Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market
- Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
- Maximizing a robust goal-reaching probability with penalization on ambiguity
- Robust non-zero-sum investment and reinsurance game with default risk
- Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games
- A non-zero-sum reinsurance-investment game with delay and asymmetric information
- Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks
- Non-zero-sum reinsurance and investment game under thinning dependence structure: mean–variance premium principle
- A reinsurance and investment game between two insurance companies with the different opinions about some extra information
- A Stackelberg reinsurance–investment game with asymmetric information and delay
- Optimal reinsurance-investment problem under a CEV model: stochastic differential game formulation
- Nonlocality, nonlinearity, and time inconsistency in stochastic differential games
- Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle
- Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market
- Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
- Nonzero-sum stochastic differential reinsurance games with jump-diffusion processes
- Robust equilibrium strategies in a defined benefit pension plan game
- Non-zero-sum reinsurance games subject to ambiguous correlations
- STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE
- Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models
- Reinsurance-investment game between two mean-variance insurers under model uncertainty
- A non-zero-sum stochastic differential game between two mean-variance insurers with inside information
- Optimal reinsurance strategy with mean-variance premium principle and relative performance concern
- A hybrid stochastic differential reinsurance and investment game with bounded memory
- Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process
- Non-zero-sum stochastic differential games for asset-liability management with stochastic inflation and stochastic volatility
- Mean field and \(n\)-insurers games for robust optimal reinsurance-investment in correlated markets
- Optimal reinsurance contract in a Stackelberg game framework: a view of social planner
- An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix
This page was built for publication: Robust non-zero-sum stochastic differential reinsurance game
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q320290)
