SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A Stackelberg reinsurance–investment game with asymmetric information and delay
16 references·1 citing·43 second hopsampled
A Stackelberg reinsurance–investment game with asymmetric information and delay (2020)A Stackelberg reinsurance–investment game…Stochastic Stackelberg differential reinsurance games under time-inconsistent mean–variance framework (2019)Stochastic Stackelberg differ…ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER (2018)ON A NEW PARADIGM OF OPTIMAL …Non-zero-sum stochastic differential reinsurance and investment games with default risk (2017)Non-zero-sum stochastic diffe…Maximum likelihood estimation of the equity premium (2017)Maximum likelihood estimation…Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model (2015)Time-consistent mean-variance…Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model (2015)Robust optimal portfolio and …Optimal investment–reinsurance with delay for mean–variance insurers: A maximum principle approach (2014)Optimal investment–reinsuranc…A class of non-zero-sum stochastic differential investment and reinsurance games (2014)A class of non-zero-sum stoch…Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013)Robust optimal control for an…Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2011)Optimal time-consistent inves…Optimal non-proportional reinsurance control and stochastic differential games (2010)Optimal non-proportional rein…Optimal investment–reinsurance policy for an insurance company with VaR constraint (2010)Optimal investment–reinsuranc…A stochastic differential reinsurance game (2010)A stochastic differential rei…A Leader-Follower Stochastic Linear Quadratic Differential Game (2002)A Leader-Follower Stochastic …Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Optimal Investment Policies f…On estimating the expected return on the market (1980)On estimating the expected re…Stackelberg differential game for reinsurance: Mean-variance framework and random horizon (2021)Stackelberg differential game…Mathematical Methods in Risk Theory (1970)Continuous-time Stochastic Control and Optimization with Financial Applications (2009)A Survey on the Combined Use of Optimization Methods and Game Theory (2018)PORTFOLIO SELECTION* (1952)Myopia and Inconsistency in Dynamic Utility Maximization (1955)Expected stock returns and volatility (1987)Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework (2014)Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process (2015)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Stochastic Differential Equations: An Introduction with Applications. (1987)Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion (2013)Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria (2014)Optimal investment and reinsurance strategies for insurers with generalized mean–variance premium principle and no-short selling (2016)Dynamic Noncooperative Game Theory (1982)Adapted solution of a backward stochastic differential equation (1990)Stochastic controls : Hamiltonian systems and HJB equations (1999)Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions (2010)The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games (2015)Linear quadratic mean field Stackelberg differential games (2018)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Brownian Motion and Stochastic Calculus (2007)Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps (2015)Risk Aversion in the Small and in the Large (1976)Optimal investment for insurers (2000)Exponential Hedging and Entropic Penalties (2002)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Marktform und Gleichgewicht. (1935)Aspects of Risk Theory (1991)Continuous Martingales and Brownian Motion (1999)A hybrid stochastic differential reinsurance and investment game with bounded memory (2021)Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game (2021)Myopia and Inconsistency in Dynamic Utility Maximization (1973)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Industry costs of equity (1997)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Robust reinsurance contracts with uncertainty about jump risk (2017)Robust non-zero-sum investment and reinsurance game with default risk (2018)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1980On estimating the expected return on the market2,818 cited
  • 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin607 cited
  • 2002A Leader-Follower Stochastic Linear Quadratic Differential Game185 cited
  • 2014A class of non-zero-sum stochastic differential investment and reinsurance games156 cited
  • 2011Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model154 cited
  • 2013Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model154 cited
  • 2018ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER125 cited
  • 2017Non-zero-sum stochastic differential reinsurance and investment games with default risk102 cited
  • 2019Stochastic Stackelberg differential reinsurance games under time-inconsistent mean–variance framework100 cited
  • 2010Optimal investment–reinsurance policy for an insurance company with VaR constraint91 cited
  • 2014Optimal investment–reinsurance with delay for mean–variance insurers: A maximum principle approach85 cited
  • 2015Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model80 cited
  • 2010A stochastic differential reinsurance game72 cited
  • 2017

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Maximum likelihood estimation of the equity premium
63 cited
  • 2015Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model60 cited
  • 2010Optimal non-proportional reinsurance control and stochastic differential games58 cited
  • Cited by

    • 2021Stackelberg differential game for reinsurance: Mean-variance framework and random horizon47 cited