Stochastic differential games between two insurers with generalized mean-variance premium principle
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Publication:5745199
DOI10.1017/ASB.2017.35zbMATH Open1390.91171OpenAlexW2793149742MaRDI QIDQ5745199FDOQ5745199
Authors: Shumin Chen, Hailiang Yang, Yan Zeng 
Publication date: 5 June 2018
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/asb.2017.35
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Hamilton-Jacobi-Bellman equationequilibrium strategygeneralized mean-variance premium principlereinsurancenon-zero sum game
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Cited In (34)
- Equilibrium reinsurance strategies for \(n\) insurers under a unified competition and cooperation framework
- Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure
- Stackelberg differential game for insurance under model ambiguity: general divergence
- Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework
- Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
- A reinsurance and investment game between two insurers under the CEV model
- Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
- Optimal dividends and reinsurance with capital injection under thinning dependence
- Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity
- Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
- Optimal proportional reinsurance with a loss-dependent premium principle
- 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
- A class of non-zero-sum stochastic differential games between two mean–variance insurers under stochastic volatility
- Non-zero-sum reinsurance and investment game under thinning dependence structure: mean–variance premium principle
- A stochastic differential game for quadratic-linear diffusion processes
- Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
- Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
- Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market
- Convergence of deep fictitious play for stochastic differential games
- Relative performance evaluation for dynamic contracts in a large competitive market
- Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
- Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
- 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 strategies for an ambiguity-averse insurer under a jump-diffusion model and defaultable risk
- Optimal reinsurance strategy with mean-variance premium principle and relative performance concern
- A hybrid stochastic differential reinsurance and investment game with bounded memory
- Optimal stochastic differential games with VaR constraints
- Non-zero-sum stochastic differential games on investment, consumption and proportional reinsurance
- Construction of special soliton solutions to the stochastic Riccati equation
- A mean field game approach to optimal investment and risk control for competitive insurers
- Stochastic differential reinsurance game for two competitive insurers with ambiguity-aversion under mean-variance premium principle
- A two-layer stochastic differential investment and reinsurance game with default risk under the bi-fractional Brownian motion environment
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