Closed-loop equilibrium reinsurance-investment strategy with insider information and default risk

DOI10.1155/2021/8873473MaRDI QIDQ6483793zbMATH OpenFDO

Authors Peng Yang

Publication date 5 May 2021

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2021/8873473

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Hamilton-Jacobi equations in optimal control and differential games (49L12) Differential games and control (49N70) Applications of game theory (91A80) Actuarial mathematics (91G05) Optimal stochastic control (93E20)

Recommendations

• Optimal investment and reinsurance policies in insurance markets under the effect of inside information
• Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information
• Optimal proportional reinsurance and investment problem with jump-diffusion risk process under effect of inside information
• Robust optimal investment and reinsurance for an insurer with inside information
• Equilibrium reinsurance-investment strategies with partial information and common shock dependence

Cited in

(2)

• Optimal investment and reinsurance policies in insurance markets under the effect of inside information
• Equilibrium investment-reinsurance strategy under information asymmetry and random horizon

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