Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump–diffusion models
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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