Stochastic differential games between two insurers with generalized mean-variance premium principle
From MaRDI portal
Publication:5745199
Recommendations
- Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
- Stochastic differential reinsurance games with capital injections
- Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
- A stochastic differential reinsurance game
- Optimal non-proportional reinsurance control and stochastic differential games
Cites work
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 5223066 (Why is no real title available?)
- scientific article; zbMATH DE number 3333061 (Why is no real title available?)
- A class of non-zero-sum stochastic differential investment and reinsurance games
- A reinsurance game between two insurance companies with nonlinear risk processes
- A stochastic differential reinsurance game
- Aspects of risk theory
- Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities
- Non-zero-sum reinsurance games subject to ambiguous correlations
- Optimal Insurance and Reinsurance Policies in the Risk Process
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal dynamic reinsurance with dependent risks: variance premium principle
- Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment under relative performance concerns
- Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
- Optimal non-proportional reinsurance control and stochastic differential games
- Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
- Optimal reinsurance under variance related premium principles
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Robust non-zero-sum stochastic differential reinsurance game
- Stochastic Pareto-optimal reinsurance policies
- Stochastic differential portfolio games
Cited in
(34)- Equilibrium reinsurance strategies for \(n\) insurers under a unified competition and cooperation framework
- A hybrid stochastic differential reinsurance and investment game with bounded memory
- Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure
- Non-zero-sum reinsurance and investment game under thinning dependence structure: mean–variance premium principle
- Stackelberg differential game for insurance under model ambiguity: general divergence
- Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
- Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
- A mean field game approach to optimal investment and risk control for competitive insurers
- Construction of special soliton solutions to the stochastic Riccati equation
- Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity
- Stochastic differential reinsurance game for two competitive insurers with ambiguity-aversion under mean-variance premium principle
- Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
- A two-layer stochastic differential investment and reinsurance game with default risk under the bi-fractional Brownian motion environment
- Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
- Optimal proportional reinsurance with a loss-dependent premium principle
- A non-zero-sum reinsurance-investment game with delay and asymmetric information
- Optimal stochastic differential games with VaR constraints
- Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
- Optimal dividends and reinsurance with capital injection under thinning dependence
- Non-zero-sum stochastic differential games on investment, consumption and proportional reinsurance
- Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model
- Reinsurance and investment for mean-variance stochastic differential games
- Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
- Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
- A class of non-zero-sum stochastic differential games between two mean–variance insurers under stochastic volatility
- Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market
- Relative performance evaluation for dynamic contracts in a large competitive market
- A reinsurance and investment game between two insurers under the CEV model
- Optimal strategies for an ambiguity-averse insurer under a jump-diffusion model and defaultable risk
- Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games
- A stochastic differential game for quadratic-linear diffusion processes
- Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework
- Optimal reinsurance strategy with mean-variance premium principle and relative performance concern
- Convergence of deep fictitious play for stochastic differential games
This page was built for publication: Stochastic differential games between two insurers with generalized mean-variance premium principle
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5745199)
