Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods
From MaRDI portal
Publication:2015641
DOI10.1016/j.insmatheco.2013.09.015zbMath1290.91090OpenAlexW1979669625MaRDI QIDQ2015641
Zhuo Jin, Fuke Wu, G. George Yin
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.09.015
Differential games (aspects of game theory) (91A23) Diffusion processes (60J60) Stochastic games, stochastic differential games (91A15)
Related Items
Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model, Constrained investment-reinsurance optimization with regime switching under variance premium principle, On a Markovian game model for competitive insurance pricing, ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER, Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints, A hybrid deep learning method for optimal insurance strategies: algorithms and convergence analysis, Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility, A survey of numerical solutions for stochastic control problems: some recent progress, Lookback option pricing for regime-switching jump diffusion models, Optimal active lifetime investment, Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market, Optimal dividend payment strategies with debt constraint in a hybrid regime-switching jump-diffusion model, Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process, Stochastic differential reinsurance and investment games with delay under VaR constraints⋆, A class of non-zero-sum stochastic differential games between two mean–variance insurers under stochastic volatility, Reinsurance games with two reinsurers: tree versus chain, Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model, A non-zero-sum stochastic differential game between two mean-variance insurers with inside information, Optimal investment and risk control for an insurer with stochastic factor, Optimal debt ratio and dividend payment strategies with reinsurance, Optimal investment-reinsurance policy with regime switching and value-at-risk constraint, Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance, Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function, Optimal investment and risk control policies for an insurer: expected utility maximization, Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models, Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model, A reinsurance game between two insurance companies with nonlinear risk processes, Backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure
Cites Work
- Unnamed Item
- Numerical methods for dividend optimization using regime-switching jump-diffusion models
- On general minimax theorems
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
- Hybrid switching diffusions. Properties and applications
- The convergence problem for differential games
- Stochastic cooperative games in insurance
- A BSDE approach to risk-based asset allocation of pension funds with regime switching
- Optimal non-proportional reinsurance control and stochastic differential games
- Classical and singular stochastic control for the optimal dividend policy when there is regime switching
- Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation
- Stability of Regime-Switching Jump Diffusions
- OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL
- A stochastic differential reinsurance game
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Manufacturing systems: wear modeling and numerical procedures
- Discrete-time singularly perturbed Markov chains: aggregation, occupation measures, and switching diffusion limit
- Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction
- On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
- Numerical Approximations for Stochastic Differential Games
- A BSDE Approach to Optimal Investment of an Insurer with Hidden Regime Switching
- Numerical Solutions for Stochastic Differential Games With Regime Switching
- The existence of value in differential games
- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
