Non-zero-sum stochastic differential reinsurance and investment games with default risk

DOI10.1016/j.ejor.2017.06.065zbMath1376.91098OpenAlexW3122956191MaRDI QIDQ1681455

Publication date: 23 November 2017

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2017.06.065

zbMATH Keywords

game theory decision analysis default risk reinsurance and investment Heston volatility model

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)

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