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STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE - MaRDI portal

STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE (Q5745199)

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scientific article; zbMATH DE number 6880936
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STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE
scientific article; zbMATH DE number 6880936

    Statements

    title
    STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE (English)
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    author
    Shu-Min Chen
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    Hailiang Yang
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    Yan Zeng
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    publication date
    5 June 2018
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    zbMATH Keywords
    reinsurance
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    generalized mean-variance premium principle
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    non-zero sum game
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    equilibrium strategy
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    Hamilton-Jacobi-Bellman equation
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    cites work
    Q5609896
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    Aspects of risk theory
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    Q5434181
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    Q4255599
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    Identifiers

    DOI
    10.1017/asb.2017.35
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    Mathematics Subject Classification ID
    91B30
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    91A15
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    93E20
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    zbMATH DE Number
    6880936
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    OpenAlex ID
    W2793149742
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