Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks
From MaRDI portal
Publication:6152708
DOI10.1016/j.insmatheco.2023.11.004OpenAlexW4389045273MaRDI QIDQ6152708
No author found.
Publication date: 13 February 2024
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2023.11.004
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
- Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
- Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
- Robust optimal reinsurance-investment strategy with price jumps and correlated claims
- Benchmark and mean-variance problems for insurers
- Numerical solution of stochastic differential equations with jumps in finance
- Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
- M-matrix characterizations. I: nonsingular M-matrices
- Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
- Non-zero-sum stochastic differential reinsurance and investment games with default risk
- Hazard rate for credit risk and hedging defaultable contingent claims
- Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
- Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
- Dynamic portfolio selection with mispricing and model ambiguity
- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- A dynamic pricing game for general insurance market
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks
- Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
- Portfolio optimization with a defaultable security
- Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
- A class of nonzero-sum investment and reinsurance games subject to systematic risks
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model
- OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
- Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
This page was built for publication: Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks
