Optimal reinsurance-investment problem under a CEV model: stochastic differential game formulation
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Cites work
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Cited in
(6)- Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty
- Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model
- Stochastic differential game formulation on the reinsurance and investment problem
- Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
- The investment and reinsurance game of insurers and reinsurers with default risk under CEV model
- Optimal time-consistent mean-variance reinsurance investment strategies for insurers under the Heston-Hawkes SV model
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