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Search: subject:"zero sum stochastic differential game"
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Game theory
8
Spieltheorie
8
Non-zero-sum stochastic differential game
7
Reinsurance
7
Rückversicherung
7
Stochastic game
7
Stochastisches Spiel
7
Nash equilibrium
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Nash-Gleichgewicht
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Relative performance
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Risiko
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Hamiltonian-Jacobi-Bellman-Isaacs equation
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Insurance
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Versicherung
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Actuarial mathematics
1
Ambiguous correlation
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Asset management
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Benchmarking
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CDS
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Common shock
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Credit derivative
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Credit insurance
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Decision under uncertainty
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Default contagion risk
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Dynamic Value-at-Risk (VaR)
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Enlargement of filtration
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Entscheidung unter Unsicherheit
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GG-Brownian motion
1
Hamilton-Jacobi-Bellman equations
1
Investition
1
Investment
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Investment and reinsurance
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8
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Jin, Zhuo
2
Pun, Chi Seng
2
Qian, Linyi
2
Wang, Ning
2
Wong, Hoi Ying
2
Zhang, Nan
2
Deshpande, Amogh
1
Huang, Ya
1
Huang, Ying
1
Jacka, Saul D.
1
Li, Man
1
Liang, Zhibin
1
Peng, Fanyi
1
Siu, Chi Chung
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Yan, Ming
1
Yuan, Yu
1
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Insurance / Mathematics & economics
4
European journal of operational research : EJOR
1
Mathematics and financial economics
1
Operations research letters
1
Risk and decision analysis
1
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ECONIS (ZBW)
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1
Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure
Zhang, Caibin
;
Liang, Zhibin
;
Yuan, Yu
- In:
European journal of operational research : EJOR
315
(
2024
)
1
,
pp. 213-227
Persistent link: https://www.econbiz.de/10014562822
Saved in:
2
Robust non-
zero-sum
stochastic
differential
game
of two insurers with common shock and CDS transaction
Li, Man
;
Huang, Ying
;
Huang, Ya
;
Zhou, Jieming
- In:
Mathematics and financial economics
18
(
2024
)
1
,
pp. 49-94
Persistent link: https://www.econbiz.de/10015045572
Saved in:
3
Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
Wang, Ning
;
Zhang, Nan
;
Jin, Zhuo
;
Qian, Linyi
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 168-184
Persistent link: https://www.econbiz.de/10012482845
Saved in:
4
Robust non-zero-sum investment and reinsurance game with default risk
Wang, Ning
;
Zhang, Nan
;
Jin, Zhuo
;
Qian, Linyi
- In:
Insurance / Mathematics & economics
84
(
2019
),
pp. 115-132
Persistent link: https://www.econbiz.de/10011990456
Saved in:
5
A reinsurance and investment game between two insurance companies with the different opinions about some extra information
Yan, Ming
;
Peng, Fanyi
;
Zhang, Shuhua
- In:
Insurance / Mathematics & economics
75
(
2017
),
pp. 58-70
Persistent link: https://www.econbiz.de/10011740725
Saved in:
6
Robust non-zero-sum stochastic differential reinsurance game
Pun, Chi Seng
;
Wong, Hoi Ying
- In:
Insurance / Mathematics & economics
68
(
2016
),
pp. 169-177
Persistent link: https://www.econbiz.de/10011492656
Saved in:
7
Non-zero-sum reinsurance games subject to ambiguous correlations
Pun, Chi Seng
;
Siu, Chi Chung
;
Wong, Hoi Ying
- In:
Operations research letters
44
(
2016
)
5
,
pp. 578-586
Persistent link: https://www.econbiz.de/10011596475
Saved in:
8
Game-theoretic approach to risk-sensitive benchmarked asset management
Deshpande, Amogh
;
Jacka, Saul D.
- In:
Risk and decision analysis
5
(
2014
)
4
,
pp. 163-176
Persistent link: https://www.econbiz.de/10011286253
Saved in:
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