A Stackelberg reinsurance-investment game with derivatives trading

DOI10.1186/s13661-023-01731-4zbMath1519.91212OpenAlexW4366425241MaRDI QIDQ6161744

Rui Gao, Yanfei Bai

Publication date: 27 June 2023

Published in: Boundary Value Problems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13661-023-01731-4

zbMATH Keywords

stochastic volatilityinvestmentreinsurancederivatives tradingstochastic Stackelberg differential game

Mathematics Subject Classification ID

Hierarchical games (including Stackelberg games) (91A65) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

Cites Work

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