A reinsurance and investment game between two insurers under the CEV model
From MaRDI portal
Publication:2007108
DOI10.1155/2020/4696941zbMath1459.91168OpenAlexW3080288118MaRDI QIDQ2007108
Shuo Cheng, Gongliang Zhang, Ming Cao, Zi-Ye Li
Publication date: 12 October 2020
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2020/4696941
Differential games (aspects of game theory) (91A23) Applications of game theory (91A80) Actuarial mathematics (91G05)
Related Items (1)
Cites Work
- Unnamed Item
- A class of non-zero-sum stochastic differential investment and reinsurance games
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Continuous-time stochastic control and optimization with financial applications
- Optimal portfolios for DC pension plans under a CEV model
- Non-zero-sum stochastic differential reinsurance and investment games with default risk
- Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model
- Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model
- Time-consistent investment and reinsurance under relative performance concerns
- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
- A class of nonzero-sum investment and reinsurance games subject to systematic risks
- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
- On the constant elasticity of variance model for the utility maximization problem with multiple risky assets
- STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE
This page was built for publication: A reinsurance and investment game between two insurers under the CEV model
