Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump–diffusion models
Sign Up to like & getrecommendations! Published in 2019 at "Nonlinear Analysis: Hybrid Systems"
DOI: 10.1016/j.nahs.2019.01.002
Abstract: This work develops an approximation procedure for a class of non-zero-sum stochastic differential investment and reinsurance games between two insurance companies. Both proportional reinsurance and excess-of loss reinsurance policies are considered. We develop numerical algorithms… read more here.
Keywords: reinsurance; non zero; reinsurance games; class non ... See more keywords
Optimal investment-reinsurance problem for an insurer with jump-diffusion risk process: correlated of Brownian motions
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Interdisciplinary Mathematics"
DOI: 10.1080/09720502.2016.1179483
Abstract: Abstract Taking the minimum ruin probability as the optimal measure, the paper brings the investment into the reinsurance, assume the market is divided into risk market and non - risk market, moreover, the insurance investment… read more here.
Keywords: risk; jump diffusion; investment; process ... See more keywords