Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games

DOI10.1080/10920277.2021.2014891OpenAlexW4205835211MaRDI QIDQ5877349FDOQ5877349

Xiang Hu, Guohui Guan

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

Mathematics Subject Classification ID

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 (8)

• Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure
• Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models
• Non-zero-sum reinsurance and investment game under thinning dependence structure: mean–variance premium principle
• 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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