Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
type: Item
instance of: scholarly article
title: Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
zbMATH Open document ID: 1276.91095
author: Xiang Lin
author: Tak Kuen Siu
author: Chun-Hong Zhang
published in: Mathematical Methods of Operations Research
publication date: 2013-02-20T00:00:00Z
review text: 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.
reviewed by: Yuri Kifer
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91A40
Mathematics Subject Classification ID: 91A05
Mathematics Subject Classification ID: 91A15
Mathematics Subject Classification ID: 91A23
Mathematics Subject Classification ID: 49N10
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 6137589
zbMATH Keywords: jump-diffusion risk process
zbMATH Keywords: stochastic game
zbMATH Keywords: optimal portfolio
zbMATH Keywords: diffusion approximation
MaRDI profile type: Publication
full work available at URL: s00186-011-0376-z
OpenAlex ID: W1966817636
cites work: Stochastic differential portfolio games
cites work: A discussion of parameter and model uncertainty in insurance
cites work: Risk theory for the compound Poisson process that is perturbed by diffusion
cites work: A max-min differential game in Hilbert space
cites work: The Existence of Value in Stochastic Differential Games
cites work: Robust optimal portfolio choice under Markovian regime-switching model
cites work: On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
cites work: Risk, ambiguity and the Savage axioms
cites work: Q3396313
cites work: The convergence problem for differential games
cites work: Q4205251
cites work: Q5638152
cites work: Aspects of risk theory
cites work: Maxmin expected utility with non-unique prior
cites work: On Some Differential Games
cites work: Differential games of inf-sup type and Isaacs equations
cites work: Worst-case scenario investment for insurers
cites work: Worst-case scenario portfolio optimization: a new stochastic control approach
cites work: On Worst-Case Portfolio Optimization
cites work: OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH
cites work: Risk minimizing portfolios and HJBI equations for stochastic differential games
cites work: Optimum consumption and portfolio rules in a continuous-time model
cites work: Q3648013
cites work: Q3154984
cites work: MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
cites work: Q5434181
cites work: Optimal non-proportional reinsurance control and stochastic differential games
cites work: On the Existence of Solutions to a Differential Game
cites work: Optimal investment for insurer with jump-diffusion risk process
cites work: A stochastic differential reinsurance game
cites work: Optimal investment and reinsurance of an insurer with model uncertainty
DOI: 10.1007/S00186-011-0376-Z
Recommended article: Nonzero-sum stochastic differential reinsurance games with jump-diffusion processes
Recommended article: A stochastic differential game for optimal investment of an insurer with regime switching
Recommended article: Stochastic differential reinsurance games in diffusion approximation models
Recommended article: Stochastic differential game formulation on the reinsurance and investment problem
Recommended article: STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE
Recommended article: A class of non-zero-sum stochastic differential games between two mean–variance insurers under stochastic volatility
Recommended article: Risk-sensitive zero-sum stochastic differential game for jump-diffusions
Recommended article: Game-theoretic optimal portfolios for jump diffusions
Recommended article: Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
Recommended article: Reinsurance and investment for mean-variance stochastic differential games
description: scientific article; zbMATH DE number 6137589