Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model-Reference-Cited by-同舟云学术

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Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model

Published:2020-07-26 Issue:12 Volume:70 Page:2579-2606
ISSN:0233-1934
Container-title:Optimization
language:en
Short-container-title:Optimization

Author:

Zhu Huainian¹^ORCID,Cao Ming²,Zhu Ying³

Affiliation:

1. School of Economics and Commence, Guangdong University of Technology, Guangzhou, People's Republic of China

2. School of Economics and Trade, Guangdong University of Finance, Guangzhou, People's Republic of China

3. College of Economics and Managament, South China Agricultural University, Guangzhou, People's Republic of China

Funder

National Natural Science Foundation of China

Natural Science Foundation of Guangdong Province

Publisher

Informa UK Limited

Subject

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

Link

https://www.tandfonline.com/doi/pdf/10.1080/02331934.2020.1789130

Reference44 articles.

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

2. Optimal investment for insurer with jump-diffusion risk process

3. Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint

4. Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks

5. Optimal investment and risk control for an insurer under inside information

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1. Robust asset-liability management games for n players under multivariate stochastic covariance models;Insurance: Mathematics and Economics;2024-07

2. Non-zero-sum investment-reinsurance game with delay and ambiguity aversion;The North American Journal of Economics and Finance;2024-07

3. Variance optimality in constrained and unconstrained stochastic differential games;Results in Control and Optimization;2024-03

4. Non-zero-sum Stochastic Differential Games for Asset-Liability Management with Stochastic Inflation and Stochastic Volatility;Methodology and Computing in Applied Probability;2024-02-22

5. Non-zero-sum reinsurance and investment game under thinning dependence structure: mean–variance premium principle;Scandinavian Actuarial Journal;2024-01-30

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