Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
Ning Wang, Nan Zhang, Zhuo Jin, Linyi Qian
| Year of publication: |
2021
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|---|---|
| Authors: | Wang, Ning ; Zhang, Nan ; Jin, Zhuo ; Qian, Linyi |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 96.2021, p. 168-184
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| Subject: | Non-zero-sum stochastic differential game | Dynamic Value-at-Risk (VaR) | Quadratic risk process | Relative performance | Nash equilibrium | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | Risiko | Risk | Nash-Gleichgewicht | Stochastisches Spiel | Stochastic game | Spieltheorie | Game theory | VAR-Modell | VAR model | Rückversicherung | Reinsurance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2020.11.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012482845