Non-zero-sum investment-reinsurance game with delay and ambiguity aversion

Author:

He Yong,Luouyang Xueqi,He Lin,Chen Haiyan,Li ShengORCID

Publisher

Elsevier BV

Reference40 articles.

1. A quartet of semigroups for model specification, robustness, prices of risk, and model detection;Anderson;Journal of the European Economic Association,2003

2. Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint;Bai;Insurance: Mathematics & Economics,2008

3. Dynamic mean–variance problem with constrained risk control for the insurers;Bai;Mathematical Methods of Operations Research,2008

4. Benchmark and mean–variance problems for insurers;Bäuerle;Mathematical Methods of Operations Research,2005

5. A class of non-zero-sum stochastic differential investment and reinsurance games;Bensoussan;Automatica,2014

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