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This paper considers a non-zero-sum stochastic differential game between two competitive mean-variance insurers, who aim to seek the time-consistent reinsurance and investment strategies. These two... Click to show full abstract
This paper considers a non-zero-sum stochastic differential game between two competitive mean-variance insurers, who aim to seek the time-consistent reinsurance and investment strategies. These two...
Keywords:
non zero;
variance insurers;
mean variance;
game two;
zero sum;
reinsurance investment
Journal Title: Optimization
Year Published: 2020
Link to full text (if available)
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Journal Title: Optimization
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!