A mean field game approach to optimal investment and risk control for competitive insurers
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Publication:6543157
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Cites work
- \(N\)-player and mean-field games in Itô-diffusion markets with competitive or homophilous interaction
- Equilibrium Pricing Under Relative Performance Concerns
- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- Linear-quadratic mean field games
- Many-player games of optimal consumption and investment under relative performance criteria
- Mean field and n-agent games for optimal investment under relative performance criteria
- Mean field and \(n\)-insurers games for robust optimal reinsurance-investment in correlated markets
- Mean field games
- Mean field games and mean field type control theory
- Mean field portfolio games
- Mean-variance investment and risk control strategies -- a time-consistent approach via a forward auxiliary process
- Optimal investment and risk control for an insurer under inside information
- Optimal investment and risk control for an insurer with stochastic factor
- Optimal investment and risk control policies for an insurer in an incomplete market
- Optimal investment and risk control policies for an insurer: expected utility maximization
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal investment under relative performance concerns
- Optimal proportional reinsurance policies for diffusion models
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Probabilistic theory of mean field games with applications II. Mean field games with common noise and master equations
- Relative performance evaluation for dynamic contracts in a large competitive market
- Stochastic differential games between two insurers with generalized mean-variance premium principle
- The Master Equation and the Convergence Problem in Mean Field Games
- Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games
Cited in
(8)- Mean field and n-player games in Ito-diffusion markets under forward performance criteria
- Peer effect and dynamic ALM games among insurers
- A two-layer stochastic game approach to reinsurance contracting and competition
- Stochastic differential games for optimal investment and risk control problems in an incomplete market
- Extended mean field game theoretical optimal distributed control for large scale multi-agent systems: an efficiency-complexity tradeoff
- Optimal investment for agents with unhedgeable stochastic income in competitive games
- Equilibrium strategies for the n-agent mean-variance investment problem over a random horizon
- Stochastic Stackelberg differential investment and reinsurance game with ambiguous correlation
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