Closed-loop equilibrium reinsurance-investment strategy with insider information and default risk

DOI10.1155/2021/8873473zbMATH Open1512.91112MaRDI QIDQ6483793

Peng Yang

Publication date: 5 May 2021

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Mathematics Subject Classification ID

Differential games and control (49N70) Applications of game theory (91A80) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Actuarial mathematics (91G05) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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Optimal investment and reinsurance policies in insurance markets under the effect of inside information

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