Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
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Publication:2656996
DOI10.1016/j.insmatheco.2020.11.004zbMath1460.91241OpenAlexW3107694364MaRDI QIDQ2656996
Ning Wang, Nan Zhang, Zhuo Jin, Lin-Yi Qian
Publication date: 17 March 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.11.004
Nash equilibriumrelative performancenon-zero-sum stochastic differential gamedynamic value-at-risk (VaR)quadratic risk process
Applications of game theory (91A80) Stochastic games, stochastic differential games (91A15) Actuarial mathematics (91G05)
Related Items (5)
Stochastic differential reinsurance and investment games with delay under VaR constraints⋆ ⋮ Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks ⋮ A class of non-zero-sum stochastic differential games between two mean–variance insurers under stochastic volatility ⋮ Mean field and \(n\)-insurers games for robust optimal reinsurance-investment in correlated markets ⋮ Unnamed Item
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