Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework
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Publication:2306404
DOI10.1016/j.cam.2020.112769zbMath1435.62375OpenAlexW3004607926MaRDI QIDQ2306404
Ying Xu, Zhiping Chen, Peng Yang
Publication date: 23 March 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.2020.112769
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Actuarial mathematics (91G05)
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