A Stackelberg reinsurance-investment game under Heston's stochastic volatility model
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Publication:2691386
DOI10.3934/jimo.2022133OpenAlexW4290628604MaRDI QIDQ2691386
Sheng Li, Zhijian Qiu, Guoyong Zhou
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.2022133
mean-variance criterionrelative performancereinsurance and investment strategyStackelberg stochastic differential game
Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Financial and insurance mathematics (aspects of mathematics education) (97M30)
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Cites Work
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