Stochastic asset allocation and reinsurance game under contagious claims
Guo Liu, Zhuo Jin, Shuanming Li, Jiannan Zhang
| Year of publication: |
2022
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|---|---|
| Authors: | Liu, Guo ; Jin, Zhuo ; Li, Shuanming ; Zhang, Jiannan |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 49.2022, p. 1-11
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| Subject: | Contagious insurance market | Mutual-excitation Hawkes process | Nash equilibrium | Relative performance | Stochastic differential game | Rückversicherung | Reinsurance | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Nash-Gleichgewicht | Stochastisches Spiel | Stochastic game | Spieltheorie | Game theory | Versicherungsmarkt | Insurance market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2022.103123 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013479221