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Robust non-zero-sum investment and reinsurance game with default risk · Study

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ArticleRobust non-zero-sum investment and reinsurance game with default risk

Ning Wang2018

Article2018

Robust non-zero-sum investment and reinsurance game with default risk

Ning Wang · Nan Zhang · Zhuo Jin · Linyi Qian

42 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Stochastic processes and financial applications

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References

2013Recent advances in robust optimization: An overview 1991Aspects of Risk Theory 2004Robust Portfolio Rules and Asset Pricing 2007Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint 2008Risk minimizing portfolios and HJBI equations for stochastic differential games 2014A class of non-zero-sum stochastic differential investment and reinsurance games 2013Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model 2015Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps

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2020Reinsurance–investment game between two mean–variance insurers under model uncertainty

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Year2018

Typearticle

Published2018-10-11

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations42

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2018.09.009

openalex_workW2895849279

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