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A stochastic differential reinsurance game
7 references·9 citing·38 second hop
A stochastic differential reinsurance game (2010)A stochastic differential reinsurance gameCooperative Stochastic Differential Games (2006)Cooperative Stochastic Differ…Optimal dynamic reinsurance policies for large insurance portfolios (2003)Optimal dynamic reinsurance p…Stochastic differential portfolio games (2000)Stochastic differential portf…Optimal risk and dividend distribution control models for an insurance company (2000)Optimal risk and dividend dis…Dynamic Noncooperative Game Theory (1982)Dynamic Noncooperative Game T…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesThe Existence of Value in Stochastic Differential Games (1976)The Existence of Value in Sto…A Stackelberg reinsurance–investment game with asymmetric information and delay (2020)A Stackelberg reinsurance–inv…STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE (2018)STOCHASTIC DIFFERENTIAL GAMES…Robust non-zero-sum investment and reinsurance game with default risk (2018)Robust non-zero-sum investmen…Robust reinsurance contracts in continuous time (2016)Robust reinsurance contracts …A class of nonzero-sum investment and reinsurance games subject to systematic risks (2016)A class of nonzero-sum invest…A reinsurance game between two insurance companies with nonlinear risk processes (2015)A reinsurance game between tw…Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods (2013)Optimal reinsurance strategie…Stochastic differential portfolio games for an insurer in a jump-diffusion risk process (2011)Stochastic differential portf…Optimal non-proportional reinsurance control and stochastic differential games (2010)Optimal non-proportional rein…On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)Existence of Optimal Stochastic Control Laws (1971)Dynamic Programming Conditions for Partially Observable Stochastic Systems (1973)On the optimal control of stochastic systems with an exponential-of-integral performance index (1981)Martingale methods in stochastic control (2005)Non-zero-sum stochastic differential reinsurance and investment games with default risk (2017)The existence of value in differential games (1972)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Hybrid Switching Diffusions: Properties and Applications (2010)Optimal investment and risk control for an insurer with stochastic factor (2017)Controlled markov processes and viscosity solutions (1994)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Controlled Markov Processes and Viscosity Solutions (2005)A stochastic Nash equilibrium portfolio game between two DC pension funds (2016)Optimum consumption and portfolio rules in a continuous-time model (1971)The Pricing of Options and Corporate Liabilities (1973)A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control (2003)Optimal Investment for an Insurer to Minimize Its Probability of Ruin (2004)Optimality results for dividend problems in insurance (2009)Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equations—An Introduction With Applications (2006)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Brownian Motion and Stochastic Calculus (2007)On reinsurance and investment for large insurance portfolios (2007)Constant elasticity of variance model for proportional reinsurance and investment strategies (2010)Dynamic Asset Pricing Theory. (1993)Risk-Constrained Dynamic Active Portfolio Management (2000)Stochastic differential equations and applications (2008)Optimal investment and reinsurance of an insurer with model uncertainty (2009)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)The Voracity Effect (1999)Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle (2006)Coalitional game theory for communication networks (2009)Dynamically Consistent Cooperative Solution in a Differential Game of Transboundary Industrial Pollution (2007)Dynamic Games in the Economics and Management of Pollution (2010)Game Theory with Engineering Applications (2016)
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References

  • 1982Dynamic Noncooperative Game Theory4,057 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 2006Cooperative Stochastic Differential Games290 cited
  • 2000Optimal risk and dividend distribution control models for an insurance company176 cited
  • 2003Optimal dynamic reinsurance policies for large insurance portfolios130 cited
  • 2000Stochastic differential portfolio games94 cited
  • 1976The Existence of Value in Stochastic Differential Games85 cited

Cited by

  • 2010Optimal non-proportional reinsurance control and stochastic differential games58 cited
  • 2015A reinsurance game between two insurance companies with nonlinear risk processes53 cited
  • 2013Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods48 cited
  • 2018Robust non-zero-sum investment and reinsurance game with default risk42 cited
  • 2011Stochastic differential portfolio games for an insurer in a jump-diffusion risk process41 cited
  • 2016Robust reinsurance contracts in continuous time40 cited
  • 2018STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE39 cited
  • 2016

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A class of nonzero-sum investment and reinsurance games subject to systematic risks
38 cited
  • 2020A Stackelberg reinsurance–investment game with asymmetric information and delay35 cited