Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
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Publication:5015999
DOI10.1080/02331934.2020.1789130zbMath1482.91191OpenAlexW3045264077MaRDI QIDQ5015999
Huai-nian Zhu, Ying Zhu, Ming Cao
Publication date: 10 December 2021
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2020.1789130
Nash equilibriumCEV modelrelative performancenon-zero-sum stochastic differential gameextended Hamilton-Jacobi-Bellman equation
2-person games (91A05) Applications of game theory (91A80) Stochastic games, stochastic differential games (91A15) Actuarial mathematics (91G05)
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