A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility
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Publication:6121109
DOI10.1080/03461238.2023.2208583arXiv2212.14327OpenAlexW4368367686MaRDI QIDQ6121109
Yilun Song, Guohui Guan, Zongxia Liang
Publication date: 26 February 2024
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2212.14327
stochastic volatilitymodel uncertaintyinvestmentreinsuranceStackelberg game\( \alpha \)-maxmin mean-variance
Hierarchical games (including Stackelberg games) (91A65) Applications of game theory (91A80) Actuarial mathematics (91G05)
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