Time-consistent investment and reinsurance under relative performance concerns

DOI10.1080/03610926.2017.1324987zbMath1390.91188OpenAlexW2612406981MaRDI QIDQ4563482

Hailong Wang, Duni Hu

Publication date: 1 June 2018

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1324987

zbMATH Keywords

competitiondiversificationcost-benefit analysisinvestment-reinsurance strategiesunderdiversification

Mathematics Subject Classification ID

Related Items (13)

Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model ⋮ Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process ⋮ Reinsurance-investment game between two mean-variance insurers under model uncertainty ⋮ Equilibrium strategy for a multi-period weighted mean-variance portfolio selection in a Markov regime-switching market with uncertain time-horizon and a stochastic cash flow ⋮ Reinsurance contract design with heterogeneous beliefs and learning ⋮ A Stackelberg reinsurance-investment game under Heston's stochastic volatility model ⋮ A non-zero-sum stochastic differential game between two mean-variance insurers with inside information ⋮ Unnamed Item ⋮ A reinsurance and investment game between two insurers under the CEV model ⋮ Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework ⋮ Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework ⋮ Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model ⋮ Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• A class of non-zero-sum stochastic differential investment and reinsurance games
• Aspects of risk theory
• Optimal incentive contracts under relative income concerns
• Stochastic Pareto-optimal reinsurance policies
• Optimal non-proportional reinsurance control and stochastic differential games
• Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
• Stochastic differential game formulation on the reinsurance and investment problem
• A stochastic differential reinsurance game
• Stochastic differential portfolio games
• OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS

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