A non-zero-sum reinsurance-investment game with delay and asymmetric information
From MaRDI portal
Publication:2031383
DOI10.3934/jimo.2020004zbMath1474.90236OpenAlexW3000558581MaRDI QIDQ2031383
Yanfei Bai, Helu Xiao, Xu Chen, Zhongbao Zhou
Publication date: 9 June 2021
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2020004
Noncooperative games (91A10) Nonlinear programming (90C30) Differential games (aspects of game theory) (91A23) Management decision making, including multiple objectives (90B50) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Risk models (general) (91B05)
Related Items
A hybrid reinsurance-investment game with delay and asymmetric information, 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, A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market
Cites Work
- Robust non-zero-sum stochastic differential reinsurance game
- A class of non-zero-sum stochastic differential investment and reinsurance games
- Optimal investment-reinsurance policy for an insurance company with VaR constraint
- Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- On maximizing the expected terminal utility by investment and reinsurance
- Optimal consumption and investment under partial information
- Stochastic games for \(N\) players
- Ruin probabilities and optimal investment when the stock price follows an exponential Lévy process
- Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
- Optimal investment in markets with over and under-reaction to information
- Non-zero-sum stochastic differential reinsurance and investment games with default risk
- Robust reinsurance contracts with uncertainty about jump risk
- Utility maximization with partial information
- Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
- Singular forward-backward stochastic differential equations and emissions derivatives
- A reinsurance game between two insurance companies with nonlinear risk processes
- Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
- A reinsurance and investment game between two insurance companies with the different opinions about some extra information
- Optimal consumption and investment strategies with partial and private information in a multi-asset setting
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- A stochastic Nash equilibrium portfolio game between two DC pension funds
- On optimal dividends: from reflection to refraction
- Optimal reinsurance and investment strategy with two piece utility function
- Some Solvable Stochastic Control Problems With Delay
- OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH
- A stochastic differential reinsurance game
- A class of approximations of ruin probabilities
- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal mean-variance reinsurance with delay and multiple\\ classes of dependent risks
- OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
- Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions
- On the constant elasticity of variance model for the utility maximization problem with multiple risky assets
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
- STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE
