Time-consistent investment and reinsurance under relative performance concerns
From MaRDI portal
Publication:4563482
DOI10.1080/03610926.2017.1324987zbMath1390.91188OpenAlexW2612406981MaRDI QIDQ4563482
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
competitiondiversificationcost-benefit analysisinvestment-reinsurance strategiesunderdiversification
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
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
This page was built for publication: Time-consistent investment and reinsurance under relative performance concerns