A class of nonzero-sum investment and reinsurance games subject to systematic risks
Chi Chung Siu, Sheung Chi Phillip Yam, Hailiang Yang and Hui Zhao
| Year of publication: |
August-December 2017
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|---|---|
| Authors: | Siu, Chi Chung ; Yam, Sheung Chi Phillip ; Yang, Hailiang ; Zhao, Hui |
| Published in: |
Scandinavian actuarial journal. - Basingstoke : Taylor & Francis, ISSN 0346-1238, ZDB-ID 186753-2. - 2017, 8, p. 670-707
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| Subject: | Nonzero-sum stochastic differential game | systematic risks | compound Poisson risk model | excess-of-loss reinsurance | Heston stochastic volatility model | Nash equilibrium | Hamilton–Jacobi–Bellman (HJB) equation | fixed-point problems | -Nash equilibrium | Rückversicherung | Reinsurance | Risikomodell | Risk model | Risiko | Risk | Stochastischer Prozess | Stochastic process | Spieltheorie | Game theory | Nash-Gleichgewicht | CAPM | Volatilität | Volatility | Versicherungsmathematik | Actuarial mathematics | Stochastisches Spiel | Stochastic game | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2016.1228542 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011848596