A class of nonzero-sum investment and reinsurance games subject to systematic risks

DOI10.1080/03461238.2016.1228542zbMath1402.91215OpenAlexW2523136883MaRDI QIDQ4577200

Chi Chung Siu, Hui Zhao, Hailiang Yang, Sheung Chi Phillip Yam

Publication date: 17 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/63026

zbMATH Keywords

excess-of-loss reinsuranceNash equilibriumHeston stochastic volatility modelfixed-point problemsHamilton-Jacobi-Bellman (HJB) equationcompound Poisson risk modelsystematic risks\(\epsilon\)-Nash equilibriumnonzero-sum stochastic differential game

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15)

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Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer, Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model, Reinsurance-investment game between two mean-variance insurers under model uncertainty, Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks, Robust reinsurance contracts with risk constraint, A reinsurance and investment game between two insurers under the CEV model, Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework, Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework, Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model, Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games

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