Non-zero-sum reinsurance games subject to ambiguous correlations

DOI10.1016/j.orl.2016.06.004zbMath1408.91104DBLPjournals/orl/PunSW16OpenAlexW2464425459WikidataQ58980675 ScholiaQ58980675MaRDI QIDQ1755812

Chi Chung Siu, Chi Seng Pun, Hoi Ying Wong

Publication date: 11 January 2019

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10220/41181

zbMATH Keywords

Nash equilibriumreinsuranceHamiltonian-Jacobi-Bellman-Isaacs equationnon-zero-sum stochastic differential game$G$-Brownian motionambiguous correlation

Mathematics Subject Classification ID

2-person games (91A05) Differential games (aspects of game theory) (91A23) Applications of game theory (91A80) Stochastic games, stochastic differential games (91A15)

Related Items (9)

Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration ⋮ Non-zero-sum stochastic differential reinsurance and investment games with default risk ⋮ Robust dynamic pairs trading with cointegration ⋮ An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix ⋮ Nonlocality, nonlinearity, and time inconsistency in stochastic differential games ⋮ Unnamed Item ⋮ STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE ⋮ Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework ⋮ G-expected utility maximization with ambiguous equicorrelation

Cites Work

• Robust non-zero-sum stochastic differential reinsurance game
• A class of non-zero-sum stochastic differential investment and reinsurance games
• Optimal reinsurance/investment problems for general insurance models
• Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
• Robust investment-reinsurance optimization with multiscale stochastic volatility
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• 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
• Loss Models
• Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)

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