A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility
Author:
Affiliation:
1. Center for Applied Statistics and School of Statistics, Renmin University of China, Beijing, People's Republic of China
2. Department of Mathematical Sciences, Tsinghua University, Beijing, People's Republic of China
Funder
National Natural Science Foundation of China
National Social Science Fund of China
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03461238.2023.2208583
Reference41 articles.
1. Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
2. A Stackelberg reinsurance–investment game with asymmetric information and delay
3. A hybrid stochastic differential reinsurance and investment game with bounded memory
4. Robust optimal investment and reinsurance problems with learning
5. On time-inconsistent stochastic control in continuous time
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Time-consistent mean-variance risk sharing and reinsurance for an insurance group in a Stackelberg differential game;Journal of Industrial and Management Optimization;2024
2. Time-consistent reinsurance-investment strategies for insurer and reinsurer under jump-diffusion and volatility risks;Journal of Industrial and Management Optimization;2023
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