Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games
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Publication:5877349
DOI10.1080/10920277.2021.2014891OpenAlexW4205835211MaRDI QIDQ5877349FDOQ5877349
Authors: Guohui Guan, Xiang Hu 
Publication date: 10 February 2023
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2021.2014891
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- Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
Actuarial mathematics (91G05) Mean field games and control (49N80) Hamilton-Jacobi equations in optimal control and differential games (49L12)
Cites Work
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Cited In (13)
- 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
- Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework
- Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models
- Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks
- Non-zero-sum reinsurance and investment game under thinning dependence structure: mean–variance premium principle
- Peer effect and dynamic ALM games among insurers
- Time-consistent investment and reinsurance under relative performance concerns
- Equilibrium investment-reinsurance strategy under information asymmetry and random horizon
- A non-zero-sum stochastic differential game between two mean-variance insurers with inside information
- Non-zero-sum stochastic differential games on investment, consumption and proportional reinsurance
- Mean field and \(n\)-insurers games for robust optimal reinsurance-investment in correlated markets
- A mean field game approach to optimal investment and risk control for competitive insurers
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