Equilibrium reinsurance-investment strategies with partial information and common shock dependence
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Publication:2070705
DOI10.1007/s10479-021-04317-4zbMath1478.91160OpenAlexW3206010544MaRDI QIDQ2070705
Publication date: 24 January 2022
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-021-04317-4
partial informationcommon shockextended HJB system of equationsequilibrium reinsurance-investment strategy
Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Actuarial mathematics (91G05)
Related Items (4)
A hybrid reinsurance-investment game with delay and asymmetric information ⋮ Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks ⋮ The investment and reinsurance game of insurers and reinsurers with default risk under CEV model ⋮ Optimal control on investment and reinsurance strategies with delay and common shock dependence in a jump-diffusion financial market
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