A non-zero-sum investment and reinsurance game between two mean-variance insurers with dynamic CVaR constraints
Xingchun Peng, Yushuang Wang
| Year of publication: |
2024
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|---|---|
| Authors: | Peng, Xingchun ; Wang, Yushuang |
| Subject: | Dynamic CVaR constraints | Investment | Non-zero-sum game | Reinsurance | Time consistent strategy | Rückversicherung | Spieltheorie | Game theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2023.102074 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014492018