Robust equilibrium investment-reinsurance strategy for n competitive insurers with square-root factor process

DOI10.1080/03610926.2023.2184185MaRDI QIDQ6571758zbMATH OpenFDO

Authors Xiaoyu Xing, Xiaofang Li

Publication date 12 July 2024

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2023.2184185

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial and insurance mathematics (aspects of mathematics education) (97M30)

Cites work

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• Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
• Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
• Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium

Cited in

(1)

• Robust reinsurance-pricing-investment stochastic differential game between (re)insurers under the mean-variance criterion

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