Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
Sign Up to like & getrecommendations! Published in 2020 at "Optimization"
DOI: 10.1080/02331934.2020.1789130
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... read more here.
Keywords: non zero; variance insurers; mean variance; game two ... See more keywords
A Reinsurance and Investment Game between Two Insurers under the CEV Model
Sign Up to like & getrecommendations! Published in 2020 at "Mathematical Problems in Engineering"
DOI: 10.1155/2020/4696941
Abstract: In this paper, the problem of nonzero-sum stochastic differential game between two competing insurance companies is considered, i.e., the relative performance concerns. A certain proportion of reinsurance can be taken out by each insurer to… read more here.
Keywords: game two; cev model; reinsurance investment;