A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game
From MaRDI portal
Publication:6609075
DOI10.1080/03461238.2024.2307633zbMATH Open1548.91099MaRDI QIDQ6609075FDOQ6609075
Authors: Qingqing Zhang, Zhibin Liang, Fudong Wang
Publication date: 20 September 2024
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Actuarial mathematics (91G05) Stochastic games, stochastic differential games (91A15) Hierarchical games (including Stackelberg games) (91A65)
Cites Work
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
- Controlled Markov processes and viscosity solutions
- A review of dynamic Stackelberg game models
- Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
- Optimal reinsurance and investment with unobservable claim size and intensity
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment for insurers when the stock price follows an exponential Lévy process
- Title not available (Why is that?)
- Aspects of risk theory
- On optimal proportional reinsurance and investment in a Markovian regime-switching economy
- Optimal investment-reinsurance policy for an insurance company with VaR constraint
- On minimizing the ruin probability by investment and reinsurance
- Optimal control of risk exposure, reinsurance and investments for insurance portfolios
- Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
- Differential games with mixed leadership: The open-loop solution
- Retail competition and cooperative advertising
- Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
- ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER
- Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion
- Minimization of absolute ruin probability under negative correlation assumption
- Optimal reinsurance with model uncertainty and Stackelberg game
- Robust non-zero-sum investment and reinsurance game with default risk
- Robust reinsurance contracts in continuous time
- Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
- Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
- A hybrid stochastic differential reinsurance and investment game with bounded memory
- A Stackelberg reinsurance–investment game with asymmetric information and delay
- Optimal reinsurance and investment in danger‐zone and safe‐region
- Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
- Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
- Robust reinsurance contracts with risk constraint
- Dynamic risk-sharing game and reinsurance contract design
- Feedback Stackelberg--Nash Equilibria in Mixed Leadership Games with an Application to Cooperative Advertising
- Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility
- Reinsurance games with two reinsurers: tree versus chain
This page was built for publication: A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6609075)