Robust non-zero-sum investment and reinsurance game with default risk
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Publication:1757617
DOI10.1016/j.insmatheco.2018.09.009zbMath1419.91386OpenAlexW2895849279WikidataQ129105158 ScholiaQ129105158MaRDI QIDQ1757617
Nan Zhang, Ning Wang, Zhuo Jin, Lin-Yi Qian
Publication date: 15 January 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.09.009
Nash equilibriumdefault riskrelative performancemodel ambiguitynon-zero-sum stochastic differential game
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