A two‐layer stochastic differential investment and reinsurance game with default risk under the bi‐fractional Brownian motion environment
Author:
Affiliation:
1. School of Economic Mathematics Southwestern University of Finance and Economics Chengdu China
Publisher
Wiley
Subject
General Engineering,General Mathematics
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/mma.8239
Reference33 articles.
1. Optimal dynamic reinsurance with dependent risks: variance premium principle
2. Optimal proportional reinsurance with common shock dependence
3. On optimal proportional reinsurance and investment in a Markovian regime-switching economy
4. Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
5. Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift
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