Optimal non-proportional reinsurance control and stochastic differential games-Reference-Cited by-同舟云学术

Optimal non-proportional reinsurance control and stochastic differential games

Published:2011-01 Issue:1 Volume:48 Page:64-71
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Taksar Michael,Zeng Xudong

Funder

National Science Foundation

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference15 articles.

1. Optimality results for dividend problems in insurance;Albrecher;RACSAM Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A. Matemáticas,2009

2. Dynamic Noncooperative Game Theory;Basar,1982

3. Stochastic differential portfolio games;Browne;Journal of Applied Probability,2000

4. The existence of value in stochastic differential games;Elliott;SIAM Journal on Control and Optimization,1976

5. Optimal play in a stochastic differential game;Elliott;SIAM Journal on Control and Optimization,1981

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