Stochastic differential game formulation on the reinsurance and investment problem

DOI10.1080/00207179.2015.1022797zbMath1411.91297OpenAlexW2080617562MaRDI QIDQ2797662

Hui Zhao, Danping Li, Xi-Min Rong

Publication date: 5 April 2016

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179.2015.1022797

zbMATH Keywords

stochastic controlstochastic differential gameNash equilibrium strategyreinsurance and investmentexponential utility maximisation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15)

Related Items (5)

Time-consistent investment and reinsurance under relative performance concerns ⋮ A Stackelberg reinsurance-investment game with derivatives trading ⋮ Stochastic differential game strategies in the presence of reinsurance and dividend payout ⋮ A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market ⋮ A Stackelberg reinsurance–investment game with asymmetric information and delay

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