Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models

DOI10.1016/j.nahs.2019.01.002zbMath1426.91205arXiv1809.05136OpenAlexW2964270739MaRDI QIDQ2327617

George Yin, Xiang Cheng, Zhuo Jin, Trang Bui

Publication date: 15 October 2019

Published in: Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.05136

zbMATH Keywords

stochastic controlregime switchinginvestmentreinsurancenon-zero-sum game

Mathematics Subject Classification ID

Related Items (2)

A survey of numerical solutions for stochastic control problems: some recent progress ⋮ Optimal investment-reinsurance policy with stochastic interest and inflation rates

Cites Work

• Unnamed Item
• Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
• Robust non-zero-sum stochastic differential reinsurance game
• Optimal stochastic differential games with VaR constraints
• A class of non-zero-sum stochastic differential investment and reinsurance games
• Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
• Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation
• Optimal investment-reinsurance policy for an insurance company with VaR constraint
• Numerical methods for portfolio selection with bounded constraints
• Hybrid switching diffusions. Properties and applications
• Stochastic games for \(N\) players
• On optimal proportional reinsurance and investment in a Markovian regime-switching economy
• Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods
• Optimal non-proportional reinsurance control and stochastic differential games
• Classical and singular stochastic control for the optimal dividend policy when there is regime switching
• A reinsurance game between two insurance companies with nonlinear risk processes
• A reinsurance and investment game between two insurance companies with the different opinions about some extra information
• Optimal dividends with debts and nonlinear insurance risk processes
• REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING
• A stochastic differential reinsurance game
• 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
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Threshold-Type Policies for Real Options Using Regime-Switching Models
• OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
• DIVIDEND OPTIMIZATION FOR A REGIME-SWITCHING DIFFUSION MODEL WITH RESTRICTED DIVIDEND RATES
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

This page was built for publication: Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models