Reinsurance-investment game between two mean-variance insurers under model uncertainty
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Publication:2196065
DOI10.1016/j.cam.2020.113095zbMath1447.91152OpenAlexW3043217046MaRDI QIDQ2196065
Zhuo Jin, Nan Zhang, Ning Wang, Lin-Yi Qian
Publication date: 28 August 2020
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2020.113095
mean-variance criterionrelative performancemodel ambiguityNash equilibrium strategynon-zero-sum stochastic differential game
Applications of game theory (91A80) Stochastic games, stochastic differential games (91A15) Actuarial mathematics (91G05)
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