Stochastic differential game strategies in the presence of reinsurance and dividend payout

DOI10.3934/JIMO.2022099OpenAlexW4285267955MaRDI QIDQ2691341

Nicholas Mwareya, Eriyoti Chikodza, Farai Julius Mhlanga, Lesiba Charles Galane, Calisto Guambe

Publication date: 29 March 2023

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2022099

zbMATH Keywords

Nash equilibriumstochastic differential gamereinsurancevariance premium principleexpectation premium principledividend

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Portfolio theory (91G10) Actuarial mathematics (91G05)

Related Items (2)

Optimal production and regulation of gold mining: a stochastic differential game approach ⋮ Dynamic decision of health information exchange under different hospital relationships: a differential game approach

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