A Stackelberg reinsurance–investment game with asymmetric information and delay-Reference-Cited by-同舟云学术

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A Stackelberg reinsurance–investment game with asymmetric information and delay

Published:2020-06-11 Issue:10 Volume:70 Page:2131-2168
ISSN:0233-1934
Container-title:Optimization
language:en
Short-container-title:Optimization

Author:

Bai Yanfei¹,Zhou Zhongbao¹^ORCID,Xiao Helu²,Gao Rui³

Affiliation:

1. School of Business Administration, Hunan University, Changsha, People's Republic of China

2. Business School, Hunan Normal University, Changsha, People's Republic of China

3. School of Mathematics, Hunan University, Changsha, People's Republic of China

Funder

National Natural Science Foundation of China

Publisher

Informa UK Limited

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization

Link

https://www.tandfonline.com/doi/pdf/10.1080/02331934.2020.1777125

Reference39 articles.

1. Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

2. Optimal investment–reinsurance policy for an insurance company with VaR constraint

3. Optimal investment and proportional reinsurance for a jump–diffusion risk model with constrained control variables

4. Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model

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1. Decentralized control of forward and backward stochastic difference system with nested asymmetric information;Applied Mathematics and Computation;2024-10

2. Robust optimal reinsurance and investment strategy for an insurer and a reinsurer with default risks and jumps;Communications in Statistics - Theory and Methods;2024-08-21

3. The optimal reinsurance strategy with price-competition between two reinsurers;Scandinavian Actuarial Journal;2024-08-09

4. A hybrid reinsurance-investment game with delay and asymmetric information;Journal of Computational and Applied Mathematics;2024-04

5. Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction;Mathematics and Financial Economics;2024-03

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