Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
The authors employ a game-theoretic approach to study optimal portfolio selection for an insurer acting in a standard Black-Scholes financial market while the risk process of the insurer is described by a jump-diffusion process. The problem is formulated as a two-person zero-sum stochastic differential game between the insurer and the market, where the former selects an optimal portfolio strategy maximizing an expected utility measured by the terminal surplus while the market ``tries'' to minimize such maximal expected utility. The authors solve the problem relying on stochastic linear-quadratic control technique.
scientific article; zbMATH DE number 6137589
scientific article