Non-zero-sum stochastic differential reinsurance and investment games with default risk
Chao Deng, Xudong Zeng, Huiming Zhu
| Year of publication: |
1 February 2018
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|---|---|
| Authors: | Deng, Chao ; Zeng, Xudong ; Zhu, Huiming |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 264.2018, 3 (1.2.), p. 1144-1158
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| Subject: | Decision analysis | Game theory | Default risk | Reinsurance and investment | Heston volatility model | Rückversicherung | Reinsurance | Spieltheorie | Kreditrisiko | Credit risk | Volatilität | Volatility | Risikomodell | Risk model | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.06.065 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011802353