A class of non-zero-sum stochastic differential investment and reinsurance games

DOI10.1016/j.automatica.2014.05.033zbMath1297.93180OpenAlexW1963798578MaRDI QIDQ466272

Sheung Chi Phillip Yam, Alain Bensoussan, Hailiang Yang, Chi Chung Siu

Publication date: 24 October 2014

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/214573

zbMATH Keywords

stochastic controlregime switchingNash equilibriumrelative performancenon-zero-sum stochastic differential gameCramer-Lundberg modelequilibrium investmentequilibrium proportional reinsuranceHamiltonian-Jacobi-Bellman equation

Mathematics Subject Classification ID

Related Items (63)

A reinsurance and investment game between two insurance companies with the different opinions about some extra information ⋮ Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model ⋮ Robust reinsurance contract with learning and ambiguity aversion ⋮ Constrained investment-reinsurance optimization with regime switching under variance premium principle ⋮ Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration ⋮ Robust non-zero-sum stochastic differential reinsurance game ⋮ Maximum principle for general partial information nonzero sum stochastic differential games and applications ⋮ ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER ⋮ Optimal reinsurance problems with extrapolative claim expectation ⋮ Time-consistent investment and reinsurance under relative performance concerns ⋮ Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints ⋮ Nonzero-sum stochastic differential portfolio games under a Markovian regime switching model ⋮ Convergence of deep fictitious play for stochastic differential games ⋮ A class of nonzero-sum investment and reinsurance games subject to systematic risks ⋮ Robust reinsurance contracts in continuous time ⋮ Non-zero-sum stochastic differential reinsurance and investment games with default risk ⋮ Relative performance evaluation for dynamic contracts in a large competitive market ⋮ Reinsurance contract design when the insurer is ambiguity-averse ⋮ Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market ⋮ Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market ⋮ The optimal deductible and coverage in insurance contracts and equilibrium risk sharing policies ⋮ Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process ⋮ Optimal reinsurance contract in a Stackelberg game framework: a view of social planner ⋮ A hybrid reinsurance-investment game with delay and asymmetric information ⋮ Reinsurance-investment game between two mean-variance insurers under model uncertainty ⋮ Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks ⋮ A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment ⋮ A Stackelberg reinsurance-investment game with derivatives trading ⋮ A class of non-zero-sum stochastic differential games between two mean–variance insurers under stochastic volatility ⋮ Reinsurance games with two reinsurers: tree versus chain ⋮ Reinsurance contract design with heterogeneous beliefs and learning ⋮ Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model ⋮ The investment and reinsurance game of insurers and reinsurers with default risk under CEV model ⋮ Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach ⋮ Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model ⋮ 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 ⋮ Robust reinsurance contracts with risk constraint ⋮ Mean field and \(n\)-insurers games for robust optimal reinsurance-investment in correlated markets ⋮ A kind of LQ non-zero sum differential game of backward stochastic differential equation with asymmetric information ⋮ Unnamed Item ⋮ Stochastic differential reinsurance games in diffusion approximation models ⋮ On a class of non-zero-sum stochastic differential dividend games with regime switching ⋮ A hybrid stochastic differential reinsurance and investment game with bounded memory ⋮ Non-zero-sum reinsurance games subject to ambiguous correlations ⋮ Robust non-zero-sum investment and reinsurance game with default risk ⋮ A reinsurance and investment game between two insurers under the CEV model ⋮ STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE ⋮ Stochastic differential reinsurance games with capital injections ⋮ Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework ⋮ A non-zero-sum reinsurance-investment game with delay and asymmetric information ⋮ A stochastic Nash equilibrium portfolio game between two DC pension funds ⋮ Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks ⋮ Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework ⋮ Dynamic equilibrium of market making with price competition ⋮ A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market ⋮ Optimal proportional reinsurance with a loss-dependent premium principle ⋮ Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models ⋮ A Stackelberg reinsurance–investment game with asymmetric information and delay ⋮ 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 ⋮ A reinsurance game between two insurance companies with nonlinear risk processes ⋮ Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games

Cites Work

• Unnamed Item
• A BSDE approach to a risk-based optimal investment of an insurer
• Optimal control of the risk process in a regime-switching environment
• Optimal investment for insurer with jump-diffusion risk process
• Optimal reinsurance/investment problems for general insurance models
• On differentiability of ruin functions under Markov-modulated models
• Continuous-time stochastic control and optimization with financial applications
• Portfolio selection in stochastic markets with HARA utility functions
• Stochastic games for \(N\) players
• A partial information non-zero sum differential game of backward stochastic differential equations with applications
• Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• OPTIMAL CONSUMPTION AND INVESTMENT FOR A LARGE INVESTOR: AN INTENSITY-BASED CONTROL FRAMEWORK
• Portfolio optimization under model uncertainty and BSDE games
• A stochastic differential game for optimal investment of an insurer with regime switching
• EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
• A stochastic differential reinsurance game
• The Existence of Value in Stochastic Differential Games
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Stochastic differential portfolio games
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Filtering a Markov Modulated Random Measure
• Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
• Betting Systems Which Minimize the Probability of Ruin
• Loss Models

This page was built for publication: A class of non-zero-sum stochastic differential investment and reinsurance games