A hybrid reinsurance-investment game with delay and asymmetric information

DOI10.1016/j.cam.2023.115491OpenAlexW4387223424MaRDI QIDQ6126033

Guoyong Zhou, Sheng Li, Zhijian Qiu

Publication date: 9 April 2024

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2023.115491

zbMATH Keywords

delayasymmetric informationstochastic differential gamesmean-variance criterionreinsurance and investment

Mathematics Subject Classification ID

Hierarchical games (including Stackelberg games) (91A65) Applications of game theory (91A80) Stochastic games, stochastic differential games (91A15) Actuarial mathematics (91G05)

Cites Work

• A class of non-zero-sum stochastic differential investment and reinsurance games
• A BSDE approach to a risk-based optimal investment of an insurer
• Optimal investment-reinsurance policy for an insurance company with VaR constraint
• Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
• Time-consistent investment strategy under partial information
• Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables
• Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
• Non-zero-sum stochastic differential reinsurance and investment games with default risk
• Minimizing the probability of ruin: optimal per-loss reinsurance
• Utility maximization with partial information
• A non-zero-sum reinsurance-investment game with delay and asymmetric information
• Equilibrium reinsurance-investment strategies with partial information and common shock dependence
• Reinsurance-investment game between two mean-variance insurers under model uncertainty
• A hybrid stochastic differential reinsurance and investment game with bounded memory
• Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
• Optimal non-proportional reinsurance control and stochastic differential games
• Inconsistent investment and consumption problems
• Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
• Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
• Optimal proportional reinsurance and investment under partial information
• Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market
• Stackelberg differential game for reinsurance: mean-variance framework and random horizon
• Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay
• A Stochastic Portfolio Optimization Model with Bounded Memory
• A stochastic differential reinsurance game
• ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal investment and risk control policies for an insurer in an incomplete market
• OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
• On the constant elasticity of variance model for the utility maximization problem with multiple risky assets
• MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
• A Stackelberg reinsurance–investment game with asymmetric information and delay
• Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
• Optimal investment for insurers

This page was built for publication: A hybrid reinsurance-investment game with delay and asymmetric information