Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction

DOI10.1007/s11579-024-00357-zMaRDI QIDQ6594800

Ya Huang, Jie-Ming Zhou, Man Li, Ying Huang

Publication date: 28 August 2024

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

zbMATH Keywords

reinsuranceCDSnon-zero-sum stochastic differential gamecommon shockdefault contagion risk

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15) Actuarial mathematics (91G05)

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